Our wii is region locked. So my son's friend brought over a game and they couldn't play it. I've seen that the new xbox and playstation wont have region blocking so that seems to be moving in a good direction.
A lot of stuff on the web is region locked - I run into it on youtube constantly. The vpn I use gets me around a lot of stuff but misses on youtube a lot. (It only routes traffic for certain things so that I don't take the performance hit when I don't need to.) In fact google is horrible about this. Often when they release new Android apps they are US only. I can't even go to the Nexus 7 sales page without being on the vpn.
That's mostly it. There are the things that are just different - but that's not the same. It is annoying how much stuff the US does differently than just about everyone else. It would be nice if my home country got on board with everybody else in terms of the metric system for example. Coax connectors in Europe are different. The power system of course and so on. My son's bicycle might have a leaky tire, so I'll be finding out if wheel sizes are the same. I know valve stems are different so it will mean a new pump. But the longer I live here the less stuff I have where that matters.
I would say that so far in my travels and living in Europe my experience hasn't been that these schemes enforce higher prices in the US. I'd guess the US is in the middle, with developing nations lower and developed nations other than the US paying higher prices. Though this can be tough to judge. For example here the sales tax is higher and the manufacturer has to honor much longer warranty terms per EU law.