Here is a MySQL dump of all the countries in one table. It is a pretty handy database with 2 char country codes, 3 char country codes and latitude and longitude (somewhat in the middle area) of each countries. Below are the columns of the table.

And below is a sample of the data stored in each row.

Here is the link for downloading the dump file country.sql
Let me know if other formats like CSV or XML will be more helpful.