In the United States the government "owns" the entire electromagnetic spectrum. The FCC is the agency that doles out bandwidth for particular uses. various frequency ranges are designated for particular things such as FM/AM radio, cell phones, CB radios, television etc. You are allowed to own relatively powerful transmitters in particular frequency ranges (cell phones and wireless internet) because the industry has contracted with the government for this chunk of bandwidth for this particular use. Any transmitter in a given frequency band which is not compliant with the regulations set fourth for how that chunk of bandwidth is to be used is illegal.

All those stickers you see on electronics are there because any electrical device is a potential transmitter. The FCC probably mandates a radiant power level, and therefore a certain amount of shielding. One of the major reasons for all that metal casing you find in most such devices is to shield the outside world form all the "noise" they make.

I can only assume that this type of legislation applies in other countries. The difference is that the FCC allows these little FM transmitters as long as they are under a certain power level. Obviously European governments are not so reasonable. It's probably as simple as a regulatory oversight. Some law says that you cannot have a transmitter in the FM band without a license, and they simply don't bother with making exceptions.

As for Gizmos... I think the coolest one I have is my GPS unit.