There are, however, books that are forbidden in certain countries, and that you could be forbidden to bring into the country - if you were searched by customs it would be well within their duty to take such a book from you.

I know I've heard of such a case a few years ago of a book being forbidden in Thailand, though I can't remember which book. Someone I know - who was living there at the time - was interested in it and purchased a digital copy (because a dead-tree version can more easily be taken) while out of the country, but Adobe's DRM made it impossible to read the damn thing on the device he had at the time.

Quite possible. However, quite often the region restrictions are not because something is illegal in some parts of the world, but because of business. Like, say, region restrictions in DVDs (or console games for that matter). Or, Japanese-only games are not restricted in the rest of the world because they are considered illegal in the rest of the world, but because the Japanese publishers just don't want to sell them abroad for some reason.

I don't think the customs would react if I brought my portable European DVD player or the PS2 console, in order to play my European media or games on them.

Since we are talking about games, it might be some pornographic game or a game which defames the king of Thailand could be illegal to bring to Thailand, but then it is not like the customs will go through all the files and installed programs in my laptop. They never did when I brought my laptop there, so I could freely keep playing my DRM-free copy of "Thai King Killer MegaDildo XVII" in Thailand.

Just to bring you up-to-date: Wolfenstein is no longer banned in Germany. :-)
Now that games are finally officially considered art, swastikas are no longer auto-banned in this context.

Also, even before that (and still true for banned games like Manhunt), possession itself is not forbidden. It's not allowed to "make it available to third parties" (selling, gifting etc.). So even if you brought you banned game to Germany, you should be safe as long as you don't "make it available" to another person.

Of course, I'm not really questioning that, it was primarily a reply to "To me it sounds just as odd that if I took a book abroad with me, suddenly I couldn't read it there." in that if they took it from you, you no longer could read it, and depending on the book and country, they very well might.

There are many, many books you should not be seen with in many countries.