As an EU/PAL gamer it can be very frustrating getting games specific to your region.

While not specifically related to the 360, I've had pal versions of the saturn, dreamcast, xbox, and gamecube. I've purposely left them unmodded and once I came back from the UK, I've not updated my game library for them since it's very, very difficult to get them. On the other hand, you also have to consider whether there is a 2nd hand market for those consoles and games, whether it's acquiring more games or selling yours off since most of the installed user base here will not be using UK/EU consoles.

My WoW account is tied to EU, which is great because i prefer hanging out with europeans rather than americans, but you do miss out on the local community for online gaming.

more OT: Actually, i'm quite annoyed with my pal xbox, because my games are all pal, they won't run on my asian 360, so for retro gaming i actually have to plug in my old xbox.