There are some places wherein not all types of anime are banned. There are only certain series or genre that will not be allowed to show to the general public. Death Note is one of those series that is banned in China. They believe that this might make people think differently about death and killing.
Pokemon is actually banned in Saudi Arabia mainly because they believe that Pokemon promotes gambling which they feel strongly about. Axis Power Hetalia was also one of the anime series that was banned in South Korea for a variety of reasons. This might be because Japan also colonized South Korea in the past.
Actually, there are no countries where anime itself is banned, but there are several specific anime which are banned in many countries for censorship from graphic content, religious reasons or for promoting violence. Many anime contain some or all of these offenses and countries can decide that the material is inapprpriate for their viewers and will ban specific anime.
Sometimes this is a reasonable reaction but other times it is just ridiculous. Pokemon was banned in Saudi Arabia because they thought it was a conspiracy involving Jews taking over the world.