I would love to make this a more comprehensive guide in the future; for now, however, this will have to do. Also, you will not find every console known to man here; pretty much just the ones I'm interested in dealing with.
Classic Regions
"Sega" Regions
"Sony" Regions
The origin and foundation of regioning in video games is often traced back to the different video systems - this was certainly a problem for the Atari systems. However, in truth, there has been specific software region blocking since the NES/Famicom, irrespective of the video system used.
The "North America" region has always included Canada, although the actual content released there tends to be different (usually to accomodate the bilingual nature of the country).
"PAL" typically means Europe and Australia; however it includes countries in Europe that do not use the PAL video system, such as France, and generally includes all countries outside of the other specific regions, such as, for example, Turkey (although very few if any games were released in these countries until very modern times).
The PAL region has pretty much always included Australia (for cultural and market size reasons). This is still true today as far as game regioning goes. But Sony now seems to indicate that it includes Australia in its "Asia" region (for geographic reasons), for release dates and pricing (but not region protection). Early indications are that Nintendo will do the same. Niether Microsoft nor anyone else have indicated that they will do this; it seems particularly unlikely for Microsoft.
Sega's regioning, where applicable, has always treated Latin America as a seperate region up until the release of the Dreamcast. Internally, the region was called "Brazillian", as this was the market that they were principally concerned with, although other countries such as Argentina and Uruguay had the same system. The only other time this system had been used was recently; by Nintendo, for their GameCube. Sega stopped using this regioning system and treated all South American countires together with North America as simply "The Americas" for the Dreamcast, except that Argentina, Paraguay and Uruguay were not part of this region then.
Most games on most Sega systems would synch to the video signal output for their timing, resulting in games that would run slower (relative to NTSC) if played on a PAL systems, and faster (relative to PAL) on an NTSC system. This was not always due to using the video output for timing, was not always peresent, and was not always limited to Sega consoles, but it is a well-known and much lamented aspect that is (rightly) heavily associated with Pre-Dreamcast Sega consoles, and not with much else (except perhaps Atari). This problem is pretty much banished from modern video games due to the cheapness of using other methods for timing, and the ability for many games and most consoles to output to 50Hz, 60Hz or even other frequencies (such as 100Hz) at the players' option, but from time to time does raise its' ugly head still (why? why??).
These systems all have software region protection, although many early games for the Genesis / Mega Drive did not utilize this. Physical differences in the cartridge size is a further barrier between some (mostly between Japanese and non-Japanese) regions. The Nomad will play some games from the PAL region, but by no means all (or even most).
These systems all have software region protection, but do not have different media sizes between regions (which makes sense, as they're pretty much all CD systems).
No Regions for any of them. However, as usual games were typically released in multiple different language versions, all of which would play on any otherwise compatible region irrespective of origin. Note that, though the Neo-Geo CD had no region protection, the TurboGrafx-16/PC Engine and the TurboDuo did have region protection, and so the Arcade Card games that combined a card and a CD would require an adapter for the card.
These systems COULD block by region - ie; Japanese consoles had a different region status to non-Japanese consoles. As far as I can tell, there were only Japanese and non-Japanese region systems (ie; no "PAL" (Europe & Australia), Asian or Latin American region status). Irrespective of this, no game (that I know of) ever used this feature to block cross-region functioning. However, many (but not all) instead used this to change the language based on the system region. There may have been software bugs in a small number of games that render it unplayable or unpassable on different hardware regions, although this is not, strictly speaking, region protection. Furthermore, some very late Brazillian releases will work only on a Master System 3 (released in Brazill only) due to new hardware features, although this doesn't really qualify as region protection, either. Lastly, a tiny fraction of games were not compatible with the Power Base but, yet again, this is not due to region protection per se. There were more than two hardware releases, of course, to accomodate power and video system varieties; but, for language purposes, there were only the two.
Like the Game Gear this system CAN differentiate between regions. As of yet, no games do this; however, it is possible for them to do so, and as such we will have to wait until later in the console's life cycle before we know for sure. I personally think that it will happen.
Not sure on this one, but unlikely. Will know soon.
Has only been released in one region (and probably won't be released in any other), so it doesn't really matter.
May or not have had region protection; we might never know, as the console is no longer produced and was never released in more than one region. Some developers might know the answer, but at this time, that answer is irrelevent - any console will work with any game.
Did not have any software region protection, but many games did not behave properly when run in a different region due to programming bugs (mostly relates to timing issues due to the system speed change; this is not considered region protection). This is much less relevant for the Lynx and Jaguar. Also, because the encryption key used on Atari 7800 games was not used for PAL releases, these would not function on NTSC systems (which does count as region protection).