Now, with that being said, there are some limitations:
- network play; depending on the game the network play might be region dependant. Ie. Japanese/Asian version owners will have to play on Asian servers. This might constitute a problem with the language barrier or network connection quality (higher pings and packet loss results to worse gaming experience). Some might consider it a plus - with US region games you're nearly 100% assured of getting to play with someone who speaks English, for example. In Europe that's less likely, and in Jap even more. ;)
- Playstation Store addons; store-bought addons might not work / install if your console is of different region than the game. This goes doubly for downloaded games - while you can freely browse buy items in any of the stores if you make a login with the relevant "fake-address" (ie. a European person makes an Playstation account with US address, etc) - buying addons like map packs, etc is usually impossible
- NTSC / PAL differences; Jap/US uses NTSC television standard, while European, Thailand, Australia, etc uses PAL. This might be a problem if you own a old CRT-style TV that does not support NTSC or PAL (depending on your region). With new LCD/Plasma/etc TVs with "HD Ready" or "FullHD", this however is no longer a problem since the standard is the same all over; progressive or interlaced 720 or 1080.
So, basically your " checklist of dummies" is: A newish flatscreen TV, no desider to buy addons, no preference where to play online.
Now, where can you get these games, aside from eBay of course? Since Sony has put the hammer down on several companies all over the world selling PSP and PS3 games "outside" their region, it's not a simple matter of finding a store online and buying a game.
Take Play-Asia for example( http://www.play-asia.com/SOap-23-83-6taz.html ); nice prices, but you can only order PS3 games to US and Asia - the Europeans get the shaft again. Same goes with Yes-Asia, to a lesser extent; they only refuse to sell you *some* games. Things are a bit better with Games-Asia, though - they sell you everything. Big names like Amazon US flat out refuse to ship outside North-America...
But there's always eBay , of course - where I've personally made most of my PS3 purchases Euro or otherwise...