Ah, a subject I can speak to on some rather extensive authority.
Songs aren't available on other countries for two reasons:
1) National restrictions
2) Label restrictions
Apple wants nothing more than to sell every single bit of song they have to everyone in the world. The problem is that a lot of music is restricted by country law, or else the labels believe they will still make more money there on CDs. This is especially true in the former Soviet bloc countries, I found, when I worked at Apple.
Also, if you live on the Channel Islands, you're fucked. Don't know why, but there's no iTunes Store there. Puerto Rico can get screwed too.