Consoles weren't always designed for this worldwide stuff, though. Region locking actually makes a lot more sense in an old-school context. In fact, the practice started with the original NES.
The NES and the Famicom (the Japanese NES) were essentially the same system with two completely different shapes. Back then, you could literally see region locking in action. If you tried to put the wrong cart in the wrong system, it was putting a square peg in a round hole. Both cartridges' electrical innards were virtually identical, but it didn't matter.
In those days, Nintendo was notorious for writing the rules in the industry. The biggest example was easily Super Mario Bros. 3. It was the most hyped release in gaming history, and it had already set sales records in Japan way ahead of its American release.
There were a number of reasons for Nintendo to region-lock the system and the game. Marketing was one - the 18-month delay between the Japanese and American versions made separate campaigns vital. Economics was another: A stronger dollar and a relatively unstable yen meant Nintendo made more money per American copy of the game. Honestly, Nintendo had a pretty strong case for locking things down.
But that was 20 years ago. The game industry has since spawned an entire cottage industry for localization - the translation, re-programming and repackaging of games for various countries - which makes global releases work like any other part of the well-oiled game development machine. Lead times for international releases have dropped from 18 months to 48 hours. In the last year, global simultaneous releases of Halo 3 and GTA4 set records not just for games, but for entertainment in general. In economics, the volatile yen-vs-dollar economy that underscored the '80s game industry has leveled out, and the Euro now provides even more stability.
Economics and marketing are effectively out the window as justifiable causes for region locking. What other reasons could there be?
"Regulations?" Gaming doesn't have enough regulations to delay releases unless you intentionally make a censorship target like Manhunt 2. Publishers account for ratings and country-specific censorship well ahead of releases - they're part of that oh-so-smooth localization process.
"Copyright?" A likely culprit in this day and age, but not a good reason. International copyrights are handled by publishers in advance, as are union relations for voice talent and other sources of outsourced game elements like music and sound effects.
So we're out of reasons.
Well, that's not actually true. We're out of reasonable reasons.