A lot of it has to do with the different refresh rates on televisions between Europe and North America. Games from one region simply do not work in another because of this. With portable systems, the screen is included with it, so there is no issue with compatibility. It is cheaper to produce one type of handheld system and game, and sell it world wide rather than produce a different version for each region. As such, most portable systems are region free.
Slightly off topic question, but I wonder if there's a master list somewhere that lists all systems that are region free, or region locked? It's always confusing for me to remember this, and for whatever reason, the only ones I'm sure about are that GB(up to GBA) are region free(and I want to say DS is the same way), and that 3DS is region locked. And I thought SNES is region locked, unless you mod your American SNES on your own?
np: Stunt Race FX(SNES), Pilotwings(SNES), MK: Super Circuit(GBA) goals: finally beat Pilotwings(most of way there), + unlock SNES tracks in MK: SC(completed)
There's got to be a master list somewhere, but I have never looked for one. Almost every portable system is region free (unsure on the 3DS and Vita). I can confirm that the DS is region free as I have played European and Japanese games. I have played both Japanese and European games on the Game Gear as well.
The PSP is region free for games, but not movies. The NES and SNES are region free between North America and Japan, but require modifications and/or adapters since Japanese games do not fit in American systems. I have played Japanese games on both of my American systems. I haven't really tried other regions on any other of my systems, but I believe that the N64 is the same as the SNES, just need to cut the tabs.
The Sega CD is region locked, but there is a piece of software that allows you to change the region coding. All you have to do is burn the game to your computer, change the region, then reburn it to a blank CD. I have done this with a few games, but is is a hassle.
There are a handful of games on the Xbox 360 that are region free. Mostly small shooters from Japan. I have one, With systems like the Saturn and PS1, you can play foreign games on the North American system, but you have to do a disc swap. Basically, you start with a NA game, let it load a few seconds, then switch it out and quickly move in the Japanese game. This works because the system checks for the region code first. You have to modify your system to play with the lid up, basically just tape down the sensor that tells it whether or not it is up. I've had limited success with this and it is damaging to both the system and the discs. It is easier to just buy the system from the region you want to play.