I just went through this (got our SA set up). There aren't a lot of clubs still active in Costa Rica, other than sportsbooks trying to dodge US law, which we aren't. If you've got decent startup capital, it makes a lot of sense at this point to incorporate in a more expensive and more regulated jurisdiction, if for no other reason than that players will trust it more. In our case, we're under-capitalized, and this was the only way to get up and running at all. It's basically the only place left in the world that doesn't make you pay the government for a license before you're making money.
On the other hand, there are some hidden costs to launching from CR that don't make themselves apparent until you've got your SA and are trying to set up your site. CR is pretty far behind right now in terms of bandwidth and infrastructure. I don't recommend HostaRica. I think a couple years ago they might have been okay but it looks like they scaled back a lot since then. We found a host that's pretty well on the level and the prices are comparable for the scene, but we're still talking about paying 4x what we'd pay for the same servers in Europe or the US...not to mention any extra bandwidth is just out of control expensive. To start with at least 3 servers like we need, that means we're paying at least $1200 a month for equipment that's already got some dust on it. That's the real hidden cost to doing business in CR -- if we had enough for two years of that hosting up front, without wrecking our startup fund, we could have applied for a temporary license in the Isle of Man and skipped this step. We'd buy the equipment and co-locate it, but that means carrying insurance on it which means we're paying rent anyway, and the cost of getting it in and out of there is enough to neutralize the savings.
To people who want to do business down there, the only thing I can tell you is get a good lawyer in your home country first and let them find a good lawyer there by referral from their firm. Go through old fashioned channels and don't believe a single thing you read on the internet, about anything. When you want hosting, look at where the IP addresses resolve for the companies that are hosting there now, and figure out how to contact those people (not HostaRica). Be paranoid in your security, partition your drives with encrypted volumes and assume that people with physical access will try to use it. Hire specialists to mitigate this risk. It can be done on a roll, but if you've got the dime to go to the Manx or the Maltese up front, you'll save a big headache (plus, you're much more likely to be whitelisted by the CM... which we can only dream about).
[By the way. Giovanna who made that last post, is on our angel list. If you need a CR lawyer, she's excellent. Bur don't take it from me, have your lawyers do the research for you.]