I can only really speak for the UK here, but...
the first thing to bear in mind is that distributors over here tend to work on the basis that a show will sell roughly 1/10th the number of copies over here than it will in the US. Obviously this isn't a hard and fast rule (a far larger percentage of the audience for a show like Clannad will be regular importers in comparison to, say, Naruto), but it's actually kind of impressive given the comparative size of the countries.
Over here in Blighty, we have this thing called the BBFC - mandatory certification for video material for theatrical and home video consumption. Costs vary depending on how you chose to submit your work - for example, you could submit something as a full DVDs worth of episodes in one go, or as individual episodes. In any case, there's a base fee and then a per-minute fee to pay, so submitting individual episodes is more expensive, but gives you more flexibility when it comes to additional formats and the like (if you're also doing a BD release, and the disks have different episode counts to the DVD, then you don't want to pay the per-minute submission twice). It also used to be that you had to pay twice for works in two languages (I.e. once for the original Japanese track, then again for the English dub), but I'm not sure what the present situation is with that.
Fiddling around with the BBFC site, let's say that a standard 13 episode set in one language would cost you £3,000.
Now, Sentai Filmworks admitted that, for their sub-only releases, they're looking to sell around 2000-3000 copies, so in UK terms that's 200-300 copies, which means in BBFC terms alone you need to cover an extra £10 a copy in the best case, for something you'd ideally be looking to sell at retail for less than £30.
In additiion to this, you obviously have the costs of producing/mastering the disks for distribution. There's costs involved in producing the disks used by DVD pressing companies even outside of actually producing the content for the DVD, and Sony also charge a licensing fee per BD disk master. I don't know what that fee is, but the UK distributors are always complaining about it. I'd have to imagine that it'd be costing them a couple of grand for the average two disk release, though, if not more, on a medium that's still selling less than DVD over here.
I mentioned last week that Kaze tends to master their disks for the whole of Europe centrally in
France, which does at least mitigate a lot of the overhead in producing disks for the UK (particularly for BD). Manga, for their own titles, actually try to avoid having to produce their own masters as often as possible in order to reduce costs. For DVD releases, they'll often partner with Madman in Aus, split the authoring fees, and use their masters (they can't go to the US since DVDs have to be in PAL format).
In terms of BD, going to the US becomes an option. This is what happened with Full Metal Alchemist Brotherhood - they were paying Funimation for access to their BDs. By mastering the disks as multiregion, it meant that Manga didn't even have to pay Sony for the mastering license fees.
Unfortunately, it turns out that nerds are impatient, and when people noticed that the US FMA BDs were multiregion, they decided to order that version rather than wait the extra couple of months that the show was probably sat in the BBFC. When the show was eventually released here, they failed to even cover the minimum order quantities (500 copies?), hence pulled the future BDs. Since Funimation were no longer producing for the UK, they then pulled the Region B coding from their future disks, too.
I'm not 100% on what happened with the Haruhi movie. My understanding is that they literally had the movie release ready to go on BD (possibly co-authored with Madman, which is the part I'm unsure about). Unfortunately, I gather there was a problem with the master, in that it didn't work properly with some players (it may have specifically been the PS3, which remains their largest target platform for BD releases). Faced with having to pay to have the disk remaster from scratch and pay those Sony fees again, they cut their losses against what was going to end up being an unprofitable situation.
So, yeah, modern video formats really aren't friendly for releasing niche media with globally fragmented distribution. Obviously it's not anywhere near as bad I'd you're a big multinational movie distributor who can master their BDs once for a global release. I'm pretty sure the only reason we're getting Madoka on BD here is because Manga can just use the Aniplex US masters without having to repay the mastering fees (hence why the UK release is a three rather than two disk release).
Since someone mentioned One Piece, I gather the UK rights aren't even on the table at the moment. Dragonball Z took a long, long time to sort out (it's only now getting it's first ever UK home release, if you can believe it!), and Toei are waiting to see how that works out before committing to releasing their other big show.
and now it's the end of my lunch break, so I better stop typing. Apologies if any of this is garbled - I'm not in the habit of typing at-length on the iPad...