Most common electrical or electronic products are sold (in the U.S.) without batteries, if the item uses any of the standard U.S. sizes (AAA, AA, C, D, or 9-volt). Thus the phrase "Batteries Not Included" is (or was) a standard Catch-Phrase in television commercials for toys and games.
This is generally because the manufacturer is too cheap to spend a few extra cents on batteries. Historically, there was also a concern with the corrosion that could occur if a standard battery were left installed too long, potentially damaging or ruining the product, although this problem is partially solved by breaking the circuit with a tiny plastic strip that is removed after purchase. Another solution involves packaging the batteries separately; for some reason this is a standard practice with appliance remote controls. Further, if the device uses a non-standard size or a rechargeable, or if the batteries are not intended to be user serviced, it will usually come with the battery.
You may find weird situations, like if you buy an R/C helicopter, the helicopter has a small battery inside it that is charged by plugging a wire into the wireless control to recharge it, then disconnect the wire once the helicopter is charged in order to fly it, but the wireless controller does not include the batteries that are required to operate it or to charge the helicopter.
Nowadays, while this rule of not including batteries often applies to most small consumer electronic appliances, more and more children's toys are packaged with a "demo" or "Attract Mode" that allows the little grubbers to play with them in the store, making it more likely that they'll beg their parents to make the purchase. Naturally, such toys get played with enough that the manufacturer's batteries are frequently drained by the time they actually make it home, fulfilling the trope in effect if not by definition. Also, "manufacturer" batteries (with some exceptions like Panasonic) are typically cheap generics that don't last as long as a brand name anyway. There are also some minor issues where shipments of items with batteries in them already cost more to distribute due to hazardous materials laws.
What can also be ridiculous is if you're buying a device that eats batteries faster than a junkie can smoke through crack, like cameras, radios and MP3 players, where typically you have to use recyclable batteries or they'll cost you a fortune in disposable batteries (so that if you have a digital camera and took a lot of pictures the disposable batteries would cost you as much as regular film), and the manufacturer recommends not using rechargeable batteries in their device.note
A related practice involves the cables associated with consumer printers. Even back when parallel cables were used instead of USB, they were always a separate purchase despite being standardized; nowadays USB is even more of a standard but manufacturers make you shell out the extra $5-20 for a store-packaged cable instead of the $1 or less it would cost to put one in the box. But this can create some weird conditions because devices that are scanners typically do include the cable to connect them to the computer. So it means you buy a $75 document scanner and it will include the USB cable, but a $450 color laser printer won't include the exact same cable.note
TV devices aren't quite the same because of the variety of cables used to hook things up, but it is still rather obscene how much an HDMI or AV cable set costs in the store, making one wonder if there isn't some kind of collusion involved.