With regard to DVD, CD's etc...no problem bringing them in at all, however, from our experience coming over a few years back it is worthwhile catalogueing them so you can check you actually get them all through as a number of ours went missing through customs!!! (and no not anything that would be perceived to be banned)
If you are bringing a PC over I think you have to submit it to Qtel to be checked for anything that would be perceived to be banned.

We came we saw we were Qatarized