They often are mislabelled in some way (such as claiming to have DTS and not having it, like my copy of Help!), and often do not have the extras that U.S. releases have (like some Charles Chaplin films that I bought, and then I bought the U.S. releases because I wanted the extras, so in this case, it cost me more, though I have extra copies of some of the films). The picture quality has been okay on the ones I have seen, but I wouldn't count on them always being as good as those released elsewhere. (But, of course, there are low quality budget releases of some films made for U.S. consumption, too.)
As for the region coding, many of the DVDs from Asia are made without region coding (check before you buy if your player can only handle region 1 and region free discs). You can also try to make your player region free, which may or may not be reasonably possible:
http://www.videohelp.com/dvdhacks
Edited a second time to add:
You will also want to pay attention to whether foreign DVDs are NTSC or PAL, and whether your player can handle both and convert between them. If your TV can handle a PAL signal (many HDTVs in the U.S. can, most regular TVs cannot; in either case, you must check and see, and do not assume), then the player need not convert between them, but still must be able to pass a PAL signal if the DVD is PAL.
My advice is this: If you want the best quality, do not buy them. However, for some films, you cannot get them in the U.S. at this time, and then you either go with an import or do without. Help! is one that I wanted and could not get in the U.S. (except used at a hugely inflated price as it is out of print, or was at the time I made my purchase). If you are willing to have something that is only okay and not the best, then you can go ahead and buy them, though it is also possible that there may be some copyright infringement issues with some of them (different countries have different laws, and different enforcement of the laws they have).
By the way, the above comments
[edited a third time to add] about quality and mislabelling are not about all foreign DVDs; just those I have seen from parts of Asia (such as Korea and China), which are sometimes resold by people in other places (including the U.S.). I have some well made DVDs made for Australia, Japan, Germany, and for the U.K., which I bought because they were either out of print in the U.S., or the U.S. version was censored, or because I was able to get an amazing price at a local store that seemed to be wanting to get rid of something that became available on regular U.S. DVDs.
