I found a country list taxonomy list for Drupal and was using it on a site, but found that I wanted the countries organized by region. I have been getting requests from people who are interested in my modified copy, so I've posted the modified country taxonomy list below.
You will need the Taxonomy XML module to import the list of countries.
Click on the following link to download the country taxonomy list: countries_by_continent.xml.zip
I'm sure that some people will disagree with the way that I've organized the countries. It's hard to be exact with geography. I put Georgia in Europe. I put Russia in Europe even though it borders Japan and the United States. I grouped the South Pacific islands with Australia. It's easy to rearrange the list how you would like after you import it into Drupal.
If you find any errors, let me know and I'll fix them.