As mukimuki simply said it's because in the case of GTA, Halo, Mario and Luigi etc...these games were all coded outside Japan, hence they are developed in their native language(s) (i.e. English usually) to the coder first and then the translation and localisation work is done.
It's rare for a game to be held back until all the versions are complete, hence why we see most Jap games hitting the shelves first. Also you have to take into account not just the translation but the work needed to convert the code to work on different TVs, the extra credits for the localisation staff, the often pointless graphics changes, the censorship adjustments, arranging the age rating to be selected, who is to publish the title, the manufacturing time and costs of the inital shipment of the game, the promotion and advertising, which includes point of sale material, preview and demo copies to retailers and magazines, advertisments, information and details regarding the title to trade magazines suppliers etc... and so on. There is a hell of a lot of work involved. Many smaller publishers and developers will wait until the release of a game has been completed in one country before considering release in other countries as to see whether it's something worth persuing, or delay a games release to tie in with a Seasonal event (eg. Christmas).
At the end of the day Japan is really the bee hive of activity regarding development and publishing, but it doesn't mean to say that the US and Europe don't get their fair share of gloating either. As a couple of examples, in Europe we've had games Kuru Kuru Kururin and Doshin the Giant available to us gamers, but unreleased to the US. Then we have games like Mario Kart: Double Dash!!, Shining Soul, CT Special Forces, Silent Hill 3, Eye Toy etc... that have been released in the UK early compared to other countries. Some like MM
D!! only 3 days before, but some like the Eye Toy we're talking a couple of months and CT Special Forces, well over a year ago. Then lets not even start going into the changes we got with games like Metroid Prime...still, after saying all of that NOE still havn't given us Animal Crossing.
It's just part of the gaming industry, and besides one can always import if one is too impatient.
p.s Harkan, just because the European version of Mario and Luigi came out first doesn't mean the game was released in Europe first...it's actually out over in the UK on the 21st of November...the US version is already out. An insider for NOE or NOA probably obtained the rom, after all the original rom/cart/disk is sent way way before the game is actually released, simply because the publisher needs to achieve all the stuff I mentioned in the second paragraph.