In the early days of DVD's when the license agreement for producing DVD players meant they had to include region coding ALL DVD players were sold with this annoying feature. However, it was decided that this was somewhat illegal and companies got the green light to produce region free players.
The vast majority of DVD players sold these days are region free... And *most* of those that aren't can be easily unlocked (or changed) by hitting a series of buttons on your remote taking you to a DVD config screen and allowing you to change the region (0 is usually region free)... as I mentioned earler, these codes can be found very easily on the internet!
Consoles are a little different as the manufacturers are the sole producers of their own console (i.e. there aren't multiple brands producing Playstations) so they don't have any competition against region free products, but there are mod chips out there which will allow you to play imported games (and this is totally legal too).