For various reasons, such as ease of marketability or the amount of funds a publishing company has access to, physical games aren't always released in every region. Most people will think back to the myriad games that have only ever seen the light of day in Japan, such as some of the Shin Megami Tensei games (as I've blogged about before). Some of these games do eventually see a release in the West, such as Super Mario Bros: The Lost Levels. Certainly, at least some sort of delay with a European release is fairly common, as some publishers do not have offices in the area and must instead forward the task of localisation and release to a third party, and all the necessary legal wrangling inevitably takes some time.
However, there are a few rare titles which never saw a North American release, but did see a European only release, or a European and Japanese release. There are at least two games in my (relatively small) collection which fit those descriptions. Hellnight is a weird first-person survival horror game, in which you try to escape a mutant creature across apocalyptic Tokyo with a variety of different assistants. The problem is that your ability to defend yourself is relatively limited, and encounters are likely to lead to your companion being killed off. Cycle through all the assistants and you will end up on your own, and from that point onwards, bumping into the hideous beast chasing after you will lead to you becoming a nice after-dinner snack. Because of my nerves, I've yet to pop it in my PS2, but it's a cool little title that I'm glad to own. For whatever reason, it was only released in Japan and in Europe, and has never seen a release in North America.
One title in my ownership which was only released in Europe - a very unusual occurrence - is Evil Twin: Cyprien's Chronicles. A platformer with decidedly grungy and grotty-looking graphics, you control an orphan with superpowers on an adventure to rescue his teddy bear. Given that there is a PC port of it, there may be a way to play it in the US despite the region-locking of the PS2 and Dreamcast versions. In spite of its looks, it actually received a very positive review from IGN.
So, why does this happen? It's more common and more understandable why not every game with its origins in Japan makes its way over here. At least 5-10 years ago, if not still, the cultural differences were just too large to circumvent, and the fear of backlash simply makes it not worth the effort, time and money that would be spent on localisation and translation. Where a game fails to bridge the gap between North America and Europe, where you'd think that this cultural barrier is much smaller, it is difficult to understand why games may be easy to buy and play in one country, but not in another.
However, where a publisher is short on cash or the prospects of success in the initial release market are slim, the company may want to cut their losses and not release it in a new market. Given the poor performance of Evil Twin, this is probably what happened here, especially in the context of the delayed release date; Ubisoft chose to hedge its bets by restricting the release to the EU. For whatever reason, Atlus has not deemed it worth setting up an "Atlus EU" office, hence the waiting times to get hold of every new release and why a few simply never show up in Europe, such as Persona 2: Eternal Punishment. The opposite happened as a one-off with Hellnight, presumably for reasons similar to what happened with Evil Twin: it was a niche game and it would have been throwing money away to risk a release in the North American market.
It's questionable whether this phenomenon is going to die out with the future generations of consoles, as we move towards a large proportion of systems being region-free. I would say that it definitely will die out, were it not for the fact that Nintendo home consoles have been region-locked and the PlayStation 3 and 4 have given developers the ability to place region locks on individual games (resulting in backlash with Persona 4: Arena). The import market between Japan and other regions still faces the language barrier, but between North America and, say, a person in Ireland wanting to play a specific video game, there is very little issue with importing (except perhaps import charges). Even in non-English speaking European countries, playing games in English is something that a lot of people have been used to for a very long time, so the language barrier may only be a partial restriction even in this case.
The exclusivity of certain games, in the sense of being able to play something that your counterparts across the Atlantic cannot, is a prohibition that the gaming market may not encounter very often nowadays. Having said that, maybe for some collectors, it is rather nice to have a particular item that stands out as being "unusual" for this precise reason. Which region exclusives do you have in your collection?