Want to see an angry e-customer ?
Let your customer discover that you don't ship to his country only on the checkout.
As a frequent Internet shopper who lives in Asia I can testify that this situation is quite common on many e-commerce websites, especially on American websites:
You choose a pair of shoes, compare prices online and decide where is the best deal.
Then you register to the website and even enter your address and credit card info.
It says nowhere "We ship to the US/Canada only", or "Check if we ship to your country".
This is a marketing problem, and therefore should be taken care by the marketing team.
Why? Because it effects your company brand abroad. The unpleasant surprise your customer has just witnessed may come back to you when you'll try to market your products in his country in the future, or when you'll publish a local version of your website. Customers remember your brand.
A good example for e-merchant who understand this is Zappos: on their website it says: "Ordering Internationally? International shipping on Zappos.com available to select locations.
Remember: International customers assume you ship to their country, if you don't tell them otherwise.