If you use Windows Phone 7, your region for the Windows Phone Store is determined by the region of your Live ID you use with the phone. The region of your Live ID cannot be changed, so if you move to another country or just want to access apps that are not available in your country there is nothing you can to about it. Changing region in your phone does not help.
The situation in Windows Phone 8 is different, more messed up. When I got my hands on the HTC 8X with Windows Phone 8, I logged with my Slovak LiveID. The Windows Phone Store showed apps available in Slovakia and I had no access to music or podcasts as expected. I listen to podcasts every day so I have an US Live ID I use with my Lumia 800 (and nowhere else and cannot be “merged” with my primary Live ID).
I did a reset on the HTC 8X and logged with my US LiveID. I set the region in the phone to Slovakia. When I opened the Windows Phone Store, podcasts and music were there so I was satisfied. I started to browse the apps section and it seemed strange. I could not find the apps I use on my Lumia 800 with the same Live ID. These apss are not available in Slovakia. When I changed the region setting in the phone to US, then the Store started to show them.
To sum it up, it looks like in Windows Phone 8 the services that are available to you (apps, games, music, podcasts) are determined from the region of your Live ID, but the games and apps that are shown to you are determined from the region setting in your phone. Pretty messed up if you ask me.