A Guide to Importing

A GUIDE TO IMPORTING
Wanna import some games? Well you got some stuff to know first.
THE CONSOLE
First of all, what console you going to be getting some games for? If your console of choice is region free then you can skip this part... no idea what region free is? Well then; a region free console will play games from anywhere but there are sometimes catches that may only apply to certain cases, for example;
GBA/DS, these are region free but if you wanna connect these to another console or game it may have issues. For example, Sonic Advance from japan won't connect to a Gamecube's Sonic Adventure DX from america and some ds games won't play well with other regions versions. If you don't care about connectivity you won't have worrys here.
Xbox 360, yes it's region free! The problem is the games are not, mostly. There is a list of region free xbox games you can easily google for. Just remember that they may have issues with online features.
Playstation 3. The PS3 is also region free, with the console allowing you to play any game from any region. However, DLC is not region free and is tied to the region coding of its respective game. For example, DLC bought in Europe will not work on an NTSC coded game, something to consider if you're after an import title which is heavy on DLC. 
Sega Dreamcast. You can use a modchip for region breaking but early models will play forign games if they are brunt to cd-r, how you go about the latter is up to you.
Sega Saturn. Modchip, or a special kind of AR cartridge that region breaks the system for imports. There are a few modchips but some work better than others.
If you don't have a region free console then you may want to mod your console to play import games via software or hardware editing. The former is prefered as it has the least danger but requires you to either buy a freeload/action replay disk/cart which can be hard to find and may not work on newer consoles or you can download a program to alter the bios of your console (best used with Wii) but this can brick your conosle and screw you over bigtime! The alternative is hardware modding, this means taking your console apart and soldering stuff, which will not only void your warrenty but can ruin everything!
The best option for some is simply importing a console! This can cost a bit or alot. The biggest problem with this is needing a stepdown or a stepup converter so it doens't explode when plugged in. Only choose this option if there are alot of games from one region you wanna play that there is no other way of getting to via emulation or the above modding. Again, rememeber that the imported console will have the same region rules, so expect language barriers.
Bonus, importing modern consoles grants you access to their relevant online stores with the range of games from that country as well as any other features exclusive to that region. Japanese Wii's have alot of odd channels!
THE GAMES
What games your going to import is up to you but usually the games that stay japan only are baseball, wrestling, rpgs and weird other games. The rpg games are usually ported nowadays but alot of older games got shafted in that catagory. America mostly has sports games but can be a haven for english games that were destined for europe but due to bad sales never made it. Europe rarely gets exclusive games and when it does they are usually ported in some way, shape or form later on due to whiney americans (see xenoblade and last story).
Remember that not all japanese games will be in japanese, some will have english but this will be hidden away in the options but usually they will stick to either symbol or lettered japanese. Most Japanese fighting games have little to basic english text and only have descriptions in japanese. Which aren't enough to make the game unplayable for a non-japanese speaker. If your still going to get these games, either have knowledge of the language or use a Gamefaqs guide when possible.
THE COST & WHERE TO BUY
As a rule, importing is expensive. Aswell as the cost of the game, theres post & packaging, shipping plus the 50/50 chance of added tax depending on the country your in and where the product is from. Trying Amazon is always stop one but there are other online shops like play asia that can help, just remember to take a good hard look at the prices as amazon will usually have alot of hidden charges which vary from seller to seller. As for that tax issue, some places will pay that for you, play asia for example, but really it's just dependant on how much of a dick your government is.
If you're lucky you may find local shops in your area that have games but don't hold your breath on that one!
FAQ
Q: Why won't my game save?
A: Some games have issues with this. gamecube games require the memory card to have only one region of game save and may corrupt or format the card if you try to mix region saves. Always use a fresh empty memory card for each region if you can.
Q: Why has my console died?
A: Some consoles will die but most will just say disk can't be read. Be carefull as some games and consoles will go bye in a big way. Super Paper Mario on wii can physicly break your wii!!!
Q: The site lists the game as $7 but to import it's £50!?
A: Them there are the hidden costs! Try another seller if you get results like this
Q: How will I know what this game will cost in my money?
A: Sites usually have some sort of converter but it's usually at the very end of the transaction. Amazon, for example, only shows you the final cost in your money when your one click away from buying. If you don't have this option or just want to know before going through the checkout/basket, try googling currency converter.
Q: I heard there are other ways to play import games without modding, is this true?
A: Somewhat. Aside from the ways mentioned above some consoles have 'tricks'. for instance there is a way to play forign gamecube games on wii but it reqires quick timing and force. put in a normal cube game but when you press play instantly remove the disk and jam the forign one in instead before the wii notices. kinda like raping the wii.
Q: Your guide sucks
A: Make it better then!
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