I looked at your other questions, which were quite enlightening. Given that you had already publicly revealed other relevant facts about yourself, e.g. How will a "local" master's in CSE look when I apply for a Graduate funding in the USA?, I don't know why you didn't include them in your question. Any such details are highly pertinent, and would help people give better and more "customized" answers.
To summarize from your previous question, you are 32, live in Bangladesh, have an IT background, work in a bank, and are afraid your job is taking you nowhere.
I'm Indian, and left India to study in both the UK and the US, at different times. So my background is not so dissimilar, and I can relate to some extent. However, the fact remains that your question is so broad that it is difficult to give useful information without knowing you.
Given that you are from Bangladesh, I'm guessing that part of your interest in further studies abroad is to get away from Bangladesh. Also, there are presumably not that many routes out of Bangladesh besides being a student. If so, I sympathize. However, from your previous question it sounds like you were planning to get a degree locally before going abroad. If so, it sounds like your question might be premature. If you aren't currently associated with a university or do not already have a relevant higher degree, then going abroad as a student would be very difficult. Are you still planning to enroll in a local Master's program? Or have you decided to go for a Master's degree abroad?
The answer by shane, I think, covers some of the issues you will probably run into as an Asian student in the West. How good or bad a situation you find it depends on a complex set of factors including:
- Your area of study
- Your university and location
- The local community from your area/country. (Assuming you get on well with people from your background)
- How successful you are at your subject
- What kind of advisor you end up with
- How much you dislike your native country. If you really dislike it,
you may have an easier time adjusting to a foreign culture.
If you happen to be from a very "sheltered" background, which is not uncommon in traditional Asian cultures, then living away from your family and culture could be good for you. In many ways the West (which it seems you are contemplating) is much more open culturally then a place like Bangladesh. However, how you respond will be up to you. You may find it frightening rather than empowering.
In my case, I was from a sheltered background, and had a difficult time. Grad education is a rough business, and study abroad is not for the faint-hearted. However, I can say that I do not regret it at all. It was (I think) very good for me. I learned to be much more confident and independent. I am now quite a different person than the person I would have been if I never left India.
Having said that, as shane says, grad school isn't the ideal way to go about self-improvement, if you have a choice. Of course, as I have observed above, you may not have a choice.