Yes - there's no territorial lock-out on the Gameboy Advance or the previous Gameboys. I have friends in the UK with Japanese & American Gameboys, and they're able to play US, UK or Japanese games.
One thing to note though - some games won't play linkup games with versions from other territories (for instance, a Jap FZero may not play against a UK FZero cart - just using FZero as an example!). A lot are fine.
That's the only exception. I was using a US Gameboy Colour for a good 18 months (with mainly UK games) without any hassle.
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