We have that, it's called NATO.
Yeah, of course it is better to have something which costs even more money, is utterly useless since the Soviet Union got dismantled, AND is undemocratic in the sense that you get zero influence on who gets the overpaid jobs there.
Euro-critics have a point when it comes to efficiency (as that could be better indeed), but everything else is just proof of shortsightedness. When the EU would get dissolved, problems simply shift to the separate countries, making the EU critics cry out even more, just looking for someone else to blame. And when it comes to efficiency, it's not like your own national government is faring so well in that department.
Instead of making a gazillion independent states which hate each other, we should cooperate on a higher level whenever possible. Cooperation has brought a lot of wealth to Europe in the past 50 years, and I doubt that the critics would have wanted to miss that wealth. So I hope EU gets expanded and that Russia will be a part of it one day. The best would be if the EU has to change it's name in the future because it's no longer a European thing only.