Import Consoles
After you've got your television setup worked out, the next thing to concern yourself with is the console that you're playing on. Generally speaking, consoles are region-specific, while the PC and handheld systems are region-free. To play a Japanese PlayStation 2 game, for example, you'll need to pick up a Japanese PS2. But all Japanese PSP games can be played on any PSP. If you're just getting into importing, you might want to start working with games that don't require you to buy a lot of extra hardware first.
When importing, some people choose to illegally modify their systems to play games from other regions. Opening a system to modify it will void any warranty that you may have with the manufacturer, and you open yourself up to a number of possible risks of tampering with the hardware, such as destroying your console entirely.
GameCube: While the GameCube doesn't have the largest collection of Japan-specific games in its library, there are a few noteworthy methods of legally playing GameCube games without having to buy an import version of the system. The first of these methods, which is twice as expensive as the second, is to invest in the now-discontinued Panasonic Q, a GameCube and DVD player all in one, and it's quite sleek looking to boot. The second is to purchase a GameCube boot disk, like the Free Loader, which works (relatively) bug-free and enables you to play games from any region on GameCubes from any region.
Warning: You must use a different memory card to save Japanese GameCube games, since Japanese saves will delete any saves from US games you might have on there.
Nintendo DS (region-free): The Nintendo DS is a handheld system, and it's entirely region-free. You'll still have to deal with the language barrier of importing games from Japan, but there's a fairly large library of Japanese games that are worth importing regardless, like last year's male cheerleading rhythm game, Ossu! Tatakae! Ouendan!
Some people import the DS simply for the opportunity of getting the hardware in colors unavailable to them in their region. Japan, for example, released the DS in a variety of exclusive colors, including candy pink and electric blue. Since the DS is region-free, some people have imported the Japanese version of the DS Lite, which was released on March 11 in Japan and still has no confirmed release date anywhere else. Since it's not guaranteed that all of the Japanese DS Lite colors will make their way to the US when the system inevitably does, an importer might get the added bonus of having a unique-colored system as well as an advance version of it.
PC (region-free): The PC, like the handhelds, is region-free, which means you can import games from anywhere and install them on any PC. You might find language problems to be prohibitive, but since Japan isn't known for having a wealth of exclusive PC games, American gamers will probably do most of their PC importing from Europe. The games to keep an eye out for are genres that don't have as strong of a following outside of Europe, specifically soccer (or, as Europeans like to call it, football) simulations like Sega's Football Manager series. When you're given the option, it's ideal to import from the UK or other native English-speaking areas before other countries, although many European games have a language selection screen.
PlayStation 2: There are no 100-percent-legal work-arounds to playing Japanese games on a US PS2, so access to the Japanese library of games requires investing in an additional system. The benefit is the Japanese PS2's extraordinary library of exclusive games, which is massive and worthwhile, especially if you have an interest in rhythm games, anime, or role-playing games.
The major detriment to importing Japanese PS2 games is that there isn't the same type of price consistency overseas, and some of the higher-profile RPGs and rhythm games can cost much more than the average game in the US. Financial considerations aside, though, you can probably get good mileage out of an imported PS2, especially if you're willing to deal with any potential language barriers that may arise. And like other systems, the Japanese-region PS2s are available in different colors than the ones in the US.
PlayStation Portable (region-free): Like the DS, the PSP is region-free, enabling you to import any number of games without putting down the extra money for additional hardware. Bear in mind, though, that UMD movies are region-encoded, so you won't be able to play an imported copy of Advent Children on a US PSP, for example.
Xbox (region-specific): The Xbox is region-specific, but there's almost no reason to purchase an Xbox made outside of the US, particularly because there are few games exclusive to the Japanese Xbox. There are a couple of different colors/models made for Japan, like the blue Dead or Alive Xbox, but unless you're a pretty aesthetic-savvy collector, the cost isn't worth it.
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