Well it is very expensive, but the rate of return is certainly good for those who work abroad a few years especially. As for country - that's really up to you. There are many countries out there!
A 2-year MBA program int he US costs (tuition only) anywhere between 30,000-150,000, depending on the program. If you have a good profile it is certainly possible to also get scholarship money.
For major: that depends on YOU. There are good jobs in every industry, but you need to decide in which direction you wish to take your career.
If you have any further questions, do not hesitate to ask.
