Ganni1987: Misleading title, this isn't GOG's fault but stupid laws that are placed beyond their control. The link posted on the first page by omega64 lists some games that I do not fully understand why they are banned.
An excerpt from a wikipedia Article regarding AvP 2000 for example, it reads "Sega also announced in November 2009 that they would not distribute Aliens vs. Predator for similar reasons."
Source That did not refer to Aliens versus Predator/AvP 2000, but rather the similarly named 2010 game Aliens vs. Predator. In that case, and the mentioned MadWorld and House of the Dead: Overkill, Sega simply chose not to release those games at all in Germany, out of fear they might get indexed or banned for their violence. Misinformation or laziness on part of the company may be to blame here, but this is something a lot of videogame publishers have done in recent years.
Also, none of the games up for the region locking are actually "banned", they're merely indexed or "blacklisted" by the BPJM because they were deemed to contain things that are "harmful to minors" at some point. This technically means they can still be sold and purchased in Germany, but there are certain restrictions placed on them: you're not allowed to sell them anywhere minors can see them, meaning you need to put them into segregated "adults only"-areas in your store or "under the counter", and openly advertising or even reporting on these games is also not allowed.
This should mean that adults still had access to them, while minors wouldn't even know they exist, but in practice, it's a neat way for moral busybodies to get rid of things they don't like.
Another problem is that several of these games were put on the index in the 90s, when practically everything under the sun was pulled off shelves by the BPJM (like the rather harmless Chaos Engine), but an entry on the index lasts for 25 years unless the publisher tries to get it off the list early.