Are there any physical differences between regional versions of the iPhone 4s? I'm in the market for an iPhone 4S to replace my older iPhone and iPod. If I took a Christmas holiday in America, the cost of a US phone is substantially less than a UK phone at current exchange rates.  

However, there's a possibility that there's physical differences between the UK model and the US version that would make the US version impractical in the UK.  I know that the range of bands used for cellular comms in the UK differs somewhat from in the US.  

So, is the iPhone 4S built to only a single design that can handle the differing frequencies used throughout Apple's main markets, meaning that a SIM-free one will work anywhere regardless of where it was bought?  Or is each model tailored to a particular region's cellular specifications, making a US bought iPhone all but useless in the UK?
The iPhone 4S is the same in every country. The only notable change is the default language configured on the device. And firmware/software locks for carrier or country locked phones.

The important difference is that apparently the unlocked iPhone 4S in the US will not be supposed to work on CDMA networks (rumor) for undisclosed reasons. It is probably due to the primitive way CDMA phones are activated by CDMA carriers.

Obviously the packaging changes (depending on the region). Also the power brick is different depending on the country for example in Europe except British territories the power plug uses Type C plugs while UK uses Type B and the US have Type A plugs.

All the iPhone 4S will "supposedly" have she same internals and the same firmwares. There are no other differences while the iPhone 4 has different firmwares for CDMA and GSM as there have been no variants for the iPhone 3G or iPhone 3GS models which were the same across the globe.

BUT beware of the term unlocked. It doesn't mean the phone is not SIM-locked. In some countries (I have in mind the case of the iPhone 3G in Canada) unlocked can mean not locked for the country carriers. Which means it is regionally SIM-locked, if you try to use it with any of the countries' carriers it will work, but if you try to use it with a SIM from another country or an international SIM, it will be locked.