I think that all democratic countries with respect for the law should cooperate closely. However, the question is: What is democracy, and what is respect for the law? Forming a common state would definitely not be a good idea, because Western countries are too diverse.
With the rise of Asia, I have the impression that many Western countries get more and more interested in this region, and turn away from Europe. This is definitely true for New Zealand and Australia, but also the USA, and this development will continue to separate these countries from Europe. Geography alone is sufficient to lead to different national interests, which could hardly be reconciled in a common state.
Moreover, scandals like the current NSA affair will add to a growing mistrust among continental Europeans against the USA. Most Europeans also do not approve of torture and the death penalty, which are cornerstones of American policy. If even the British don't want to join the USA (which would definitely dominate this new "Western" state), why should the rest of Europe want to do so? American culture is anyway spreading allover the world, and in a way, that is also a unification.