DLCs tend to be region locked. All of them. In... a weird way. The problem is normally not the DLC itself but the PSN-Account though: You have an EU-Account? No US-DLCs for you, even if the game you own is US. You can try to get an US-Account, but the moment you add a credit card you're getting problems again. Again, it's not the games that cause you problems, it's your account. :/ Which is... a retarded way of region-locking stuff, if you ask me.
Though so far I only know of Persona Golden to be a region locked GAME.
Thing is, the only game I encountered a lock on so far is DOA5. I've stuck to Region 1 for most of my games, but my copies of Super Street Fighter IV AE and Resident Evil 6 are Region 3, and I've been able to purchase and use DLC for those games. That's why I believe that region-locked DLC may be a case-to-case basis for the publisher (and if that's true, then maybe people shouldn't be so hard on Capcom? )
As more and more new games are getting digital release on the Playstation Store, maybe the best way to ensure that the game you buy will be compatible with the DLC is to go ahead and get the digital version-- which is going to be a pain, depending on how big your PS3's hard drive is.
Unfortunately, I couldn't find a list of region-locked games, so I think your best bet would be to do a quick google search before every purchase that you plan to make and plan to buy DLC for. I gathered than most actual games are region-free, but you're going to have to research about the DLC.