Let's say you publish a game in a certain region where people are willing to pay a fairly high price which contains a profit margin sufficient for you to stay in business and prosper.
Now you'll probably want to sell your game in other parts of the world too - this is a natural desire because you want to earn more from selling in more places, and because you would rather not exclude people from playing your game.
But when you try to sell in another country you find that so few people there are willing to pay the price that your primary region could bear, so in the end you can't break even from the cost of entering a new market.
You could try reducing the price. Yes, you would get more sales in more thrifty regions, but your primary region was fine with the higher price so your sales there wouldn't improve enough to make up for the reduced profit margin, and you were relying on those sales and margins to stay in business. Going into those foreign markets was just supposed to be some extra revenue, but if it makes you lose money in your main market then it wasn't worth going international.
The obvious thing to do then is to sell for different prices in different regions. Get your sales at a healthy profit where you can, and sell for just-enough-to-be-worth-it everywhere else. But now savvy purchasers will see that they can buy games for less by importing from the cheap area, and you start losing your best customers to foreign resellers. And this is all perfectly legit, so you have no legal recourse.
To prevent this they try to lock games/movies/whatever to a single region, so that they can sell for different prices in different places without sabotaging their own business.
It's a somewhat dodgy practice because of the trouble it sometimes causes for customers, and I don't like it much, but there is a reason that regionalisation is used.