We maintain a list of 'PUBLIC DOMAIN' Worldwide Country names in all official formats. The information comes from the ISO 3166-1 Maintenance Agency for offical English and French short names, the US Board on Geographic Names (BGN) for english short, long and local short, long names, and United Nations Group of Experts on Geographic Names (UNGEGN) format (long) English, French names, short and formal local names and Spanish names.
There still is a problem representing some Arabic characters as romanized characters (will see ?). But these are limited to the local names of a few Arab countries.
Note, the English, Spanish and French cover the 3 Western languages of the UN's official 6 languages. Metadata, information on the sources, and download can be found at:
http://www.opengeocode.org/download.php#countrynames
The Open Geocode Team
OpenGeoCode.org
Jan. 26, 2014.
We updated the list to include country names in Italian and German. We used the UN Food & Agriculture list of countries in Italian and the German Government's Federal Foreign Office's list of countries in German.