Indeed - I did my MLitt in Scotland, and stayed on to do my PhD. I'm hoping to find a job in the UK after I graduate, primarily because the collections of art in the UK (in my field) are of a far higher calibre than those in the US/Canada, and I just prefer living in the UK.
KLPDaisy makes a good point, depending on the type of postgraduate study you want to do there may be difficulties in converting back to the US system or deciding which degree you do here. Though most of the time it's straightforward, my MLitt is similar to an MA (because MAs in Scotland are undergrad degrees), for example and an MPhil is between an MLitt and PhD. A PhD is a PhD wherever you go. There are many more types of Masters degrees here (MSt, MA, MLitt, MPhil, etc). If you're doing something more specialised though, like law or medicine (both of which you start as an undergrad), you should check out what the conversion process entails - it's not impossible, I know a few people who have been trained here with the expectation to work here for awhile and then go back.
It's cheaper for me to do my PhD here than in the states because they expect you to finish in three years (rather than five or seven), and often a masters degree takes 1 year (with the exception of the MPhil). None of this coursework rubbish at PhD level, you must have that before you start. I prefer the system here, it's much more self-directed (at every level - undergrad, postgrad masters and doctoral) and they will assume you've got the requisite knowledge, coursework and languages (though sometimes you can get additional tuition for this) to complete your degree. As far as what to expect from coursework/marking, it's dependent on the university. But I will say generally it's more in-depth (rather than the broad approach north american unis take) and to get high marks or distinction you're expected to contribute original, or thought-provoking research.
Another rather general advantage to doing postgraduate work in the UK is the access to resources. Even if you're in Belfast or Glasgow or Aberystwyth, London really isn't that far away, and for that matter neither is the continent.
Where did you apply? And for what degree? If you have any questions about the application process (even you you mentioned you already sent a couple in), interviews, funding, the structure of various degrees, etc., just ask.

More than happy to help!
Best of luck,
Laura
ps - Belfast is lovely! I was there this April for the Oireachtas Rince na Cruinne (World Irish Dancing Championships) at the Waterfront Hall, hehe thousands of dancers invading Belfast, good times.