Most of them should be fine. You might run into occasional problems with Steam if you move to a country where a game is banned (maybe Germany or Japan).
Ironically, it's less to do with the censorship in many cases and more to do with licensing issues on Steam. I've heard that most of Valve's own titles won't run outside of the continental region they were bought in (so I could by German-bought Portal 2 in the UK but not in the US) and some US-bought games published by 2K Games (XCOM, Civ 5 being confirmed cases) can also not be played outside of the US.
Dead Rising 2: Off the Record will plainly refuse to run in Germany. Apparently this did apply to the retail version, but seems to have been lifted. Still applies to the Steam version though.
Some games cannot be bought or activated within Germany, including the uncensored version of MW2, the uncensored version of Black Ops, and Inversion. However, if you activated these games while you were in the US, you shouldn't have a problem.