I've never had any problem buying digitally distributed games from US-based outlets like Steam and Direct2Drive, but apparently it's not always so easy for people that live outside of North America. CNET has a recent article on the obstacles to purchasing games over Steam in Australia, where certain games are simply unavailable, and others sell at inflated prices. They've formed a Rest of World (RoW) group on Steam to encourage game publishers to think globally, and it's already almost 4000 strong. (Thanks Blue's.)