All depends on what you want to do - most common hack is to convert to multi region - if dats your game then you need to ascertain if the chipset is configurable - most are as it makes sense for a manufacturer to use same config and alter code as per market into which he is selling - as to legality of hacking one - you should inform yourself of that - i am aware that at point of purchase you can request the player to be converted and I know of a shop that did this - if you are going to play other region DVDs then just make sure that the broadcast format is acceptable to your screen as there is whole NTSC/PAL issue and let's not even go near the non-standard stuff - summing it up - better buy a DVD that is compatible with your player as it removes any difficulties
BY the way I'm not a techie - DISCLAIMER