Compatibility list

Brief notes on which systems have regional protection and compatibility issues. Most consoles from the NES to the PS2 have some kind of regional protection in order to maintain control over when games are sold in the different regions.

3DO One of the few disc-based systems to have no regional lockout (or copy protection)
Atari 2600 / VCS Cartridges do not contain lockout chips. However, the cartridge sends the TV line sync pulses so using an NTSC cartridge in a PAL console, or vice versa may cause the TV to "roll" the picture. This can sometimes be corrected using the vertical hold.
Atari 7800 The majority of NTSC 7800 cartridges will not work in a PAL 7800, typically just hanging the system.
Atari Lynx Fully compatible. Cartridges are exactly the same
Atari Jaguar Fully compatible. Cartridges are exactly the same. Jaguar games should detect the system (e.g. PAL or NTSC) that they are running on, and set the 50/60Hz mode accordingly.
CBS ColecoVision Fully compatible, cartridges are the same.
Commodore 16/64 No region protection. Look at your TVs settings or aerial for black & white or other picture problems.
Nintendo Famicon / NES NES cartridges do have lockout chips within them. These guys actually invented the concept of region lockout with the NES - hence the Nintendo Seal of Quality. Converters are available. Curiously, European PAL B games wont run on PAL A consoles (UK/Italy) without mods or adapters.
Nintendo GameBoy Fully compatible, cartridges are the same. Will all run on any gameboy including gameboy advance
Nintendo GameCube Discs are regionally coded for USA, Japan or Europe.
This is checked by the system. 'Convertor' discs such as 'Freeloader' overcome that.
Nintendo Super Famicon / SNES

All consoles have a lockout device for stopping foreign cartridges from being used. Converters (e.g. Gameshark) are easily available; they trick the console by accepting two cartridges, the import one which you wish to play, and a local region one so that the console can pass the lockout. The Japanese and US lockout chip is the same but American cartridges are squared at the corners preventing them from being used without cutting a hole in the cart slot (or using converter).
A few games will have trouble even with a converter.

Similar story for the N64. Swapping the cart back doesn't overcome region chip. You need an Ultra 64 SFX or Universal Games Adaptor v4. Early adaptors only work with early games.
Mattell Intellisvion Fully compatible. Cartridges are exactly the same. Note however, that the ICA expansion module does not work on UK Intellivisions and therefore ICA carts are not useable in the UK version.
PC-Engine/Turbo-Grafx (TG-16) PC-Engine CDs will play on a Turbo-Grafx without problems, however HuCards will not work on the 'opposite' system without an adaptor or internal hardware modification. Adaptors are available.
Philips CD-i The games have some region encoding - compatibility depends a lot on which player is used. See this article
SNK Neo-Geo AES/ Pocket All Cartridges are compatible, nice.
Sega Dreamcast DC-X swap disc overcomes protection
Sega MegaDrive / Genesis

The Megadrive uses country coding for protection. Some carts are coded to specifically look for the country code, and refuse to run on a system with the "wrong" code. Adaptor cartridges are available to allow Japanese cartridges to fit in a PAL/USA Megadrives. 70% of USA carts will run on a PAL system without a convertor. Sega Retro has a great compatibility list here.
The Sega CD (Mega CD) uses a lockout chip, converters are available but hard to come by.
32x: about half of USA 32X games need a convertor to work on PAL consoles - more info here.

Sega Master System / Sega GameGear Cartridges are compatible. Master systems have a country code stored in them but this is used for by some SMS games display different titles or logos. The US/Euro SMSs are also compatible with the Japanese Sega "Mark III".
Sega Saturn Has inbuilt lockout for foreign CDs. Lockout defeator cartridges are available but hard to find.
Sony playstation Discs are regionally coded -checked by the system. Older consoles with the parallel I/O socket accept cartridges (Game Hunter, Action Replay etc) which allow swapping of discs to play imports. Swap CDs (psx-change) work with other consoles/PSones. Mod chips used to be available, notably causing legal battles in many countries! The basic mod chip defies region protection but imported games will still play in b&w unless the circuit board itself also modified OR a NPAL signal converter is used.
Sony PS2 Modding the PS2 took soldering to another level with intricate wiring needed onto each leg of mainboard chips. Non intrusive mods include using HD Advance software on the chunky PS2 with a hard drive and network card installed or Swap magic software with a slide tool or flip-top lid.
Videopac The Philips Videopac is the European version of the American Odyssey 2. Videopac and O2 cartridges are fully compatible with the 'other' console version.
Vectrex Fully compatible. Cartridges are exactly the same.