(In addition, in certain states like France, for example, they can also exhibit local selectivity on implementation by pronouncing "Bof".)
I would say that the problems in Germany are more of a local nature - the Zollamt is certainly not equipped to check whether or not the device is EMC compliant or not. They only check the paperwork acompanying the package - what is the thing (=which part of the tax/custom code applies), its value (=how much is the VAT and customs fee). If it is electronic, does it have the right signs/stickers attached (CE, ROHS, recycling signs)? If it doesn't, they hold it and/or you have to pay some default fee - which could be calculated from an arbitrary administratively set amount, like 300 euro.
The problem is the rather anal German implementation of the ROHS/CE directives and their penchant for "Ordnung" - you could mail even a smelly excrement in a box, but the papers need to be in order. Ordnung muss sein!
I didn't have any issues importing stuff from China and other places to neither Switzerland, Denmark or France, with the exception of the customs and VAT fees here and there. Which is to be expected, but only Switzerland levied these systematically - in Denmark I was almost never asked to pay anything and in France it is really rare for small items. The only exception is if it is not sent by regular post but by UPS, Fedex, DHL or some such - they will always declare the goods for you and will always collect the fees + their own processing fee.
I know that Slovakia will hold the package on arrival until you pay the VAT + customs (if applicable, I think packages under 200 euro declared value are exempt), but I have never heard about them checking for ROHS or CE marks, unless it is some form of mass goods import (like a palette of Microcurrents).
So make sure that you have the customs declaration attached, the content is declared correctly along with the price of the goods (excluding the shipping, customs fees are calculated from the value of the goods, not the cost of sending it) and that you put the CE and ROHS marks on the box. Both you can self declare, but considering the shipment is from overseas where the EU directive doesn't apply, nobody would check your papers - our market is full of USB phone chargers without CE or with fake/untested CE, for example.
One alternative is to sell the item as a kit of parts, then the entire CE and recycling mess doesn't apply, only ROHS.
Another one is to find a reseller in Europe and let them handle the issue. Adafruit and Sparkfun do that, for example. It is a win-win situation - the manufacturer/vendor doesn't need to bother with the local formalities, the customers get to pay only local shipping fees instead of potentially exorbitant overseas ones and the package arrives (usually) a lot faster.