Audio CDs are the same format all over the world.
Video DVDs are in a different format in North America (NTSC) and Europe (PAL). Most but not all European DVD players will play NTSC format DVDs. Most North American DVD players will not play PAL format DVDs.
For commercial DVDs there is also the added nuisance of region codes which differ between North America (Region 1) and Western&Central Europe (Region 2).
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