Dear Anonymous,
Very interesting post and of course the size and objectives of your IT organization will no doubt play a key role in where to place your PMO. We conducted a study of 25 PMOs not too long ago. The study was qualitative in nature and intended to identify areas for further analysis.
One of the areas we looked at was PMO placement in the IT organization and rationale. The graphic below shows the PMO placement and rationale of the 25 PMOs in the study group.

Typically, the IT organizations that were seeking to address IT Governance and Demand Management placed the PMO at the Director level. And, the organizations, typically smaller, seeking to start a new PMO and to establish project management processes, implement tools, etc, placed the PMO at the Manager Level reporting to a Director, not the CIO. Important to note, in all instances the PMO felt it was placed at the correct level within the organization.
Of course, the sample size and intent of this study was for illustrative purposes. Are these findings in line with the thinking of your organization..? Great post, I hope we hear and learn from others.