Allows items to be released at different dates in different regions. This is most advantageous in the case of movies, where the costs of localizing and promoting a film make it prohibitively expensive to release in more than one part of the world at a time. Regional lockout theoretically prevents consumers from obtaining the item "ahead of time" by buying the item from a foreign exporter. (For example, buying the DVD of the latest foreign hit movie before the movie has even reached local cinema screens.)
Allows price differentiation between markets (localisation), thus increasing the potential revenue from worldwide sales and/or making products affordable in markets not tolerating the prices of other regions.
Allows the correct upstream copyright owner to receive royalties for each copy, where copyright terms or exclusive licensees differ between countries, notably as in the case of Peter Pan.
When distribution contracts for each area are awarded to different companies, it allows a company to avoid "stepping on someone else's toes". See Market division.
[quote name='MrDubbs']They're are region free DVD players out there, but most are region locked to the specific region that they're being sold in[/quote]
You can also add the fact that companies can sell the rights multiple times (with different arrangements/targets/royalties), and get them into more capable "local" hands. Few companies are equally strong in sales for all regions.
But, nowadays, all the Regions protection are useless because there are abundant of Region Free players out there now esp. those outside US, most DVD players resellers sell them REGION free regardless.