The GeoNames geographical database covers all countries and contains over eight million placenames that are available for download free of charge. Visit The GeoNames Geographical Website
The GeoNames geographical database is available for download free of charge under a creative commons attribution license. It contains over 10 million geographical names and consists of over 8 million unique features.
The most useful part i see is full country list with ISO 2 letter country codes, ISO 3 letter country codes, ISO numeric codes, Capital Names, Continents and Country Names.