A coin with two faces, that.
Banning vs. age categories
Films and games are VERY rarely banned, both in the US and Europe. Germany leads the list in europe, but that is because it is illegal to depict nazi flags in germany; that is the biggest cause of bans there. Generally, the bans that do come into effect are usually lifted after a (usually short) time. The wikipedia list isn't too updated on lifting bans; a quick look was enough to notice several films listed as banned that are not.
In europe it is more common, to my knowledge, that you are likely to find a wider range of products in stores - basically, there is not the same level of consumer activism to prevent things from reaching stores, but that is mostly my subjective impression, and Europe isn't a country, it's a continent with a lot of different countries - although that is slowly changing).
In both USA and Europe, age ratings for games are assigned by non-governmental organizations - ESRB and PEGI, respectively. Pegi profiles itself more clearly as a 'parental advisory' system - PEGI stands for 'Pan European Game Information' while ESRB is the more official-sounding 'Entertainment Software Ratings Board'.
Interestingly enough, I think Dragon Age was a bit of a wakeup call. It was rated Mature, and it actually IS. Yes, it has gore and sexual themes, but it is *ACTUALLY* a mature game - unlike many games with that marker... and it sold above expectations. WAY above expectations. (First sale figures was expected to be 2x those of Spore, I believe.
I think that digital distribution is less vulnerable to consumer activism, at least traditional ones, and as gamers get older - and the realization that we do get older - sinks in, concerns for age ratings are likely to become a little less absolute.
I would not be shocked - although definitely surprised (and a little amused) - to see an 'Adult Only' section in Impulse or Steam, though. It would be interesting to hear Zoomba or someone's view on this though.