To the best of my knowledge, none of the current HD DVD players or discs have region coding, but there are plans afoot to introduce it.
The DVD Forum is discussing introducing Region Protection Coding (RPC) on the next-generation of HD DVD, which would act in much the same way as current DVDs (ie restricting playback of discs purchased outside the player's region).
Incidentally, there is region coding on Blu-ray players, but not on any of the discs issued so far. The Blu-ray Association has reduced the seven DVD regions down to three:
1) North America, South America, East Asia (except China)
2) Europe and Africa
3) China, Russia and other countries