The only 'gotcha' I've encountered is that occasionally the US and European versions will have different patches, so you have to be aware of what version you have. For example, Heroes of Might & Magic V fell into this category.
Also, if you're buying PS2 games or PC DVD, there might region restrictions on the disks. With PS2, there's also the PAL vs. NTSC conversion to check. Most games are just fine, it's just the rare exceptions that can upturn the apple-cart.