Do video games have region codes like DVDs do?

DVDs have region codes for whatever reason. So I couldn’t get a DVD in the United States and take it somewhere in, say, Europe, and watch it on the DVD players there unless I has a special multi-region DVD player.
Do video games work the same way?
If a friend of mine in the UK got a Nintendo Wii game or Nintendo DS game and sent it to me in the United States, would I be able to play it on my system here? Would a PSP game that I bought here in the States work on a game system that was bought in the UK?

Yes, they do have region locks on them, except for PS3 games (so far).