Unstable supply

A device that lets you insert a plug into a different socket is an adapter: these are small, cheap, safe and pretty much unbreakable. For example, between England and Germany, you need only an adapter. You stick your British plug in the adapter, which connects the rectangular phase and neutral prongs to the round German ones and puts the ground where the German outlet expects it, and you're good to go.
Unfortunately, there are lots of different plugs in the world. The three big standards are:
The "American" (Type A) plug, with two vertical pins
The "European" (Type C) plug, with two round pins
The "British" (Type G) plug, with three rectangular pins
If your device has one of these plugs and you can adapt it to the others, you've got 90% of the world covered. (The main exceptions are South Africa, Australia, New Zealand, Argentina and parts of China, which use a Type I plug with two slanted pins.) Adapters between Type A and Type C and from C to G are tiny and cheap; converting Type A into G or Type G into anything else, on the other hand, needs a bulkier model.
For hobbyists: if you can't find an adapter, and you're staying for a longer time, just buy a separate plug at your destination, remove the existing plug and attach the new one. Plugs are always available, unlike adapters. They're cheaper too
Caution: only try this if you know what you're doing!
As a last resort, a Type C plug can be forced into a Type G socket without any converter at all if you ignore what your mother told you and stick a pen or similar pointy object into the center (ground) hole, which fools the socket into thinking a ground pin has been inserted and opens up the other holes. Disable power to the socket and try to use something non-conductive to do this! There's one more complication to consider: any two-pin socket is ungrounded, while all three-pin plugs are grounded.

In many developing countries, electrical supply is highly erratic and you need to take precautions to protect your equipment.
The main danger is power spikes, where the amount of power supplied temporarily surges to dangerous levels, with potentially catastrophic consequences. In developed countries, the main source of spikes is lightning strikes, but in developing countries they're most often associated with power outages since when the power comes back on, it rarely does so smoothly. The cheapest method of protection is thus simply to disconnect electronic devices as soon as the power goes out, and wait a few minutes after the power comes back on until plugging them back in.
Surge protectors are devices designed specially to protect against spikes and surges, and some are available in portable travel-sized versions. Some surge protectors can also be fitted to a telephone line to protect your phone or laptop modem. The most common variety use a metal oxide varistor (MOV), which shorts to ground if a given voltage is exceeded. These are easily destroyed by larger spikes, and better models will have a light indicating when the MOV has broken down, but you still need to keep an eye on them as the device will still continue to give power even if the protection is gone. There are also surge protectors with fuses, which are fail-safe (a blown fuse will stop power) and replaceable, but they are also riskier as a short, sharp spike can pass through and damage your device before the fuse blows.
In some (mostly poor) regions, you may experience electricity voltage drops. Instead of 240V for example, you may only get 200V or even less. This happens especially if you're at "the end of the line" (far from the source or transformer) and is caused by the resistance of the electric lines themselves. Some appliances, such as light bulbs and heating equipment just keep working under a lower voltage, although a 20% voltage drop will cause a 36% power drop.