Wii has mandatory region lockout. It is easily defeated via software mods - Gecko OS via the Homebrew Channel works perfectly for everything I've thrown at it.
PS2 also has mandatory lockouts. The only practical work-around aside from running the game in an emulator (quickly becoming a fairly realistic option) is to get a modchip installed. Modchips are legal in Australia after the ACCC (Australian Competition and Consumer Commission) went to the supreme court here against Sony and got them officially classified as being 'fair use'.
360 has optional lockout. It's left up to the publisher's discretion. Generally speaking, US-released games from European or US publishers are not regioned, but Japanese publishers lock everything down tight, which can be annoying. There's no real work-around here, but it's fairly easy to import a 360 from another region and if you have an Australian 360 you can plug the power brick into a foreign console and it will work perfectly, so there's no need for an expensive transformer & rectifier.
PS3 has no regional lockouts for games. It does for Blu-ray. Sony's official policy is that regioning no longer makes sense and that it is more practical to 'lock out' regions by simply not offering the games in their language. It's a fairly odd position since they're one of the main proponents of movies on Blu-ray and those do have regions. Additionally, the PS3 has a universal power supply able to cope with all voltages and frequencies, all you need is a bog-standard PC power cable. I have one of the shiny white Japanese PS3s (primarily to ensure I had a blu-ray player in Region 1) and have had zero issues with anything.
The real trick as far as regioning goes is the recent move toward digital content. You're locked to your region for digital stuff. You can create fake accounts from other regions, but you can't actually buy anything on those accounts because your billing address will not match with your bank and the charges will be declined. Services like Entropay used to be an option, but Sony and MS have picked up on those and they generally don't work. Your only option is to have a friend who can buy point cards in their region for you and send you the codes. I've also heard some people have had success with the recent trend toward pre-paid 'gift' credit cards since these aren't associated with a billing address, but haven't tried that option myself.