In the case of housing and transport, it's easy to see why prices can be very different in different parts of the world: cheaper housing basically just means that not as many people (relative to the number of houses available) are willing and able to spend a lot of money to live in that location; transport prices probably differ for a bunch of reasons, but the main point is that there's no reason they should converge, as transport within city X is not a possible substitute for transport within city y.
For other goods, you should be surprised if the price discrepancy is one that you really could exploit for significant profit (after accounting for shipping, import/export restrictions and taxes, and so on) -- but otherwise, I don't think it's a very strange phenomenon. Prices will always be set somewhere in the overlapping region between the cost of production (and distribution, and taxes, minus any subsidies, etc.) and the amount that customers are willing and able to pay. Both of those amounts can vary pretty dramatically from place to place.
For other goods, you should be surprised if the price discrepancy is one that you really could exploit for significant profit (after accounting for shipping, import/export restrictions and taxes, and so on) -- but otherwise, I don't think it's a very strange phenomenon. Prices will always be set somewhere in the overlapping region between the cost of production (and distribution, and taxes, minus any subsidies, etc.) and the amount that customers are willing and able to pay. Both of those amounts can vary pretty dramatically from place to place.