You have to get it chipped, man -- just like the old days when you would chip your PSX or SuperNES or whatever so you could play import games from Japan etc. But even then, it's just not worth it. The price of a DVD player these days is about the same price as the chipset.
With that said, there are *some* DVD players that are already multi-region, but that code needs to be deactivated. It's normally the weirdest set of button selections, but it is possible. My Daewoo isn't listed as multi-region, but if I type in a code on the remote, it magically turns into multi-region.
As far as I know though, there's not many DVD players that have the region free code built in 'secretly' -- it's either region free or not. Best thing to do is to check your model number and brand out on google. There are a ton of geek sites out there where the nerds have cracked the code for all these DVD players. Sometimes you find yours on the list...