The first that come in my mind is when I go to Cuba. Cuba does not allow GPS device in their country.
Yes!! I had my GPS unit in my bag the last time I went to Cuba. They kept it at the airport when I arrived, and I picked it up on my way home. But wow, the red tape was crazy! I had to fill out lots a paper work and pay an fee that was about $8 CAD when I claimed it back. The Cubans were most interested in the device than anything. I showed them how it worked and the were utterly amazed when it showed our location on its map.
Cuba is an amazing place, go if you can.