Using this country list arrays :

$array['Quick Pick']['Australia'] = "Australia";
$array['Quick Pick']['Canada'] = "Canada";
$array['Quick Pick']['Ireland'] = "Ireland";
$array['Quick Pick']['NewZealand'] = "New Zealand";
$array['Quick Pick']['SouthAfrica'] = "South Africa";
$array['Quick Pick']['UnitedKingdom'] = "United Kingdom";
$array['Quick Pick']['USA'] = "United States of America";

$array['Africa']['Algeria'] = "Algeria";
$array['Africa']['Angola'] = "Angola";
$array['Africa']['Benin'] = "Benin";
$array['Africa']['Botswana'] = "Botswana";
$array['Africa']['BurkinaFaso'] = "Burkina Faso";
$array['Africa']['Burundi'] = "Burundi";
$array['Africa']['Cameroon'] = "Cameroon";
$array['Africa']['CapeVerde'] = "Cape Verde";
$array['Africa']['CentralAfricanRepublic'] = "Central African Republic";
$array['Africa']['Chad'] = "Chad";
$array['Africa']['Comoros'] = "Comoros";
$array['Africa']['CotedIvoire'] = "Côte d'Ivoire";
$array['Africa']['Djibouti'] = "Djibouti";
$array['Africa']['Egypt'] = "Egypt";
$array['Africa']['EquatorialGuinea'] = "Equatorial Guinea";
$array['Africa']['Eritrea'] = "Eritrea";
$array['Africa']['Ethiopia'] = "Ethiopia";
$array['Africa']['Gabon'] = "Gabon";
$array['Africa']['Gambia'] = "Gambia";
$array['Africa']['Ghana'] = "Ghana";
$array['Africa']['Guinea'] = "Guinea";
$array['Africa']['GuineaBissau'] = "Guinea-Bissau";
$array['Africa']['Kenya'] = "Kenya";
$array['Africa']['Lesotho'] = "Lesotho";
$array['Africa']['Liberia'] = "Liberia";
$array['Africa']['Libya'] = "Libya";
$array['Africa']['Madagascar'] = "Madagascar";
$array['Africa']['Malawi'] = "Malawi";
$array['Africa']['Mali'] = "Mali";
$array['Africa']['Mauritania'] = "Mauritania";
$array['Africa']['Mauritius'] = "Mauritius";
$array['Africa']['Morocco'] = "Morocco";
$array['Africa']['Mozambique'] = "Mozambique";
$array['Africa']['Namibia'] = "Namibia";
$array['Africa']['Niger'] = "Niger";
$array['Africa']['Nigeria'] = "Nigeria";
$array['Africa']['Congo'] = "Republic of the Congo";
$array['Africa']['Rwanda'] = "Rwanda";
$array['Africa']['SaoTomeAndPrincipe'] = "Sao Tome and Principe";
$array['Africa']['Senegal'] = "Senegal";
$array['Africa']['Seychelles'] = "Seychelles";
$array['Africa']['SierraLeone'] = "Sierra Leone";
$array['Africa']['Somalia'] = "Somalia";
$array['Africa']['SouthAfrica'] = "South Africa";
$array['Africa']['Sudan'] = "Sudan";
$array['Africa']['Swaziland'] = "Swaziland";
$array['Africa']['Tanzania'] = "Tanzania";
$array['Africa']['Togo'] = "Togo";
$array['Africa']['Tunisia'] = "Tunisia";
$array['Africa']['Uganda'] = "Uganda";
$array['Africa']['WesternSahara'] = "Western Sahara";
$array['Africa']['Zambia'] = "Zambia";
$array['Africa']['Zimbabwe'] = "Zimbabwe";

$array['Asia']['Afghanistan'] = "Afghanistan";
$array['Asia']['Armenia'] = "Armenia";
$array['Asia']['Azerbaijan'] = "Azerbaijan";
$array['Asia']['Bahrain'] = "Bahrain";
$array['Asia']['Bangladesh'] = "Bangladesh";
$array['Asia']['Bhutan'] = "Bhutan";
$array['Asia']['Brunei'] = "Brunei";
$array['Asia']['Burma'] = "Burma (Myanmar)";
$array['Asia']['Cambodia'] = "Cambodia";
$array['Asia']['China'] = "China (PRC)";
$array['Asia']['Georgia'] = "Georgia";
$array['Asia']['HongKong'] = "Hong Kong";
$array['Asia']['India'] = "India";
$array['Asia']['Iran'] = "Iran";
$array['Asia']['Iraq'] = "Iraq";
$array['Asia']['Israel'] = "Israel";
$array['Asia']['Japan'] = "Japan";
$array['Asia']['Jordan'] = "Jordan";
$array['Asia']['Kazakhstan'] = "Kazakhstan";
$array['Asia']['KoreaNorth'] = "North Korea (DPRK)";
$array['Asia']['KoreaSouth'] = "South Korea (ROC)";
$array['Asia']['Kuwait'] = "Kuwait";
$array['Asia']['Kyrgyzstan'] = "Kyrgyzstan";
$array['Asia']['Laos'] = "Laos";
$array['Asia']['Lebanon'] = "Lebanon";
$array['Asia']['Malaysia'] = "Malaysia";
$array['Asia']['Maldives'] = "Maldives";
$array['Asia']['Mongolia'] = "Mongolia";
$array['Asia']['Nepal'] = "Nepal";
$array['Asia']['Oman'] = "Oman";
$array['Asia']['Pakistan'] = "Pakistan";
$array['Asia']['Philippines'] = "Philippines";
$array['Asia']['Qatar'] = "Qatar";
$array['Asia']['Russia'] = "Russia";
$array['Asia']['SaudiArabia'] = "Saudi Arabia";
$array['Asia']['Singapore'] = "Singapore";
$array['Asia']['SriLanka'] = "Sri Lanka";
$array['Asia']['Syria'] = "Syria";
$array['Asia']['Taiwan'] = "Taiwan";
$array['Asia']['Tajikistan'] = "Tajikistan";
$array['Asia']['Thailand'] = "Thailand";
$array['Asia']['Turkmenistan'] = "Turkmenistan";
$array['Asia']['UnitedArabEmirates'] = "United Arab Emirates";
$array['Asia']['Uzbekistan'] = "Uzbekistan";
$array['Asia']['Vietnam'] = "Vietnam";
$array['Asia']['Yemen'] = "Yemen";

$array['Europe']['Albania'] = "Albania";
$array['Europe']['Andorra'] = "Andorra";
$array['Europe']['Austria'] = "Austria";
$array['Europe']['Belgium'] = "Belgium";
$array['Europe']['Bulgaria'] = "Bulgaria";
$array['Europe']['Belarus'] = "Belarus";
$array['Europe']['BosniaAndHerzegovina'] = "Bosnia and Herzegovina";
$array['Europe']['Cyprus'] = "Cyprus";
$array['Europe']['Croatia'] = "Croatia";
$array['Europe']['CzechRepublic'] = "Czech Republic";
$array['Europe']['Denmark'] = "Denmark";
$array['Europe']['Estonia'] = "Estonia";
$array['Europe']['Finland'] = "Finland";
$array['Europe']['France'] = "France";
$array['Europe']['Germany'] = "Germany";
$array['Europe']['Greece'] = "Greece";
$array['Europe']['Hungary'] = "Hungary";
$array['Europe']['Iceland'] = "Iceland";
$array['Europe']['Ireland'] = "Ireland";
$array['Europe']['Italy'] = "Italy";
$array['Europe']['Latvia'] = "Latvia";
$array['Europe']['Lithuania'] = "Lithuania";
$array['Europe']['Luxembourg'] = "Luxembourg";
$array['Europe']['Liechtenstein'] = "Liechtenstein";
$array['Europe']['Macedonia'] = "Macedonia";
$array['Europe']['Malta'] = "Malta";
$array['Europe']['Moldova'] = "Moldova";
$array['Europe']['Monaco'] = "Monaco";
$array['Europe']['Montenegro'] = "Montenegro";
$array['Europe']['TheNetherlands'] = "The Netherlands";
$array['Europe']['Norway'] = "Norway";
$array['Europe']['Poland'] = "Poland";
$array['Europe']['Portugal'] = "Portugal";
$array['Europe']['Romania'] = "Romania";
$array['Europe']['SanMarino'] = "San Marino";
$array['Europe']['Serbia'] = "Serbia";
$array['Europe']['Slovakia'] = "Slovakia";
$array['Europe']['Slovenia'] = "Slovenia";
$array['Europe']['Spain'] = "Spain";
$array['Europe']['Sweden'] = "Sweden";
$array['Europe']['Switzerland'] = "Switzerland";
$array['Europe']['Turkey'] = "Turkey";
$array['Europe']['Ukraine'] = "Ukraine";
$array['Europe']['UnitedKingdom'] = "United Kingdom";
$array['Europe']['Vatican'] = "Vatican City State";

$array['North-America']['AntiguaAndBarbuda'] = "Antigua and Barbuda";
$array['North-America']['TheBahamas'] = "The Bahamas";
$array['North-America']['Barbados'] = "Barbados";
$array['North-America']['Belize'] = "Belize";
$array['North-America']['Canada'] = "Canada";
$array['North-America']['CostaRica'] = "Costa Rica";
$array['North-America']['Cuba'] = "Cuba";
$array['North-America']['Dominica'] = "Dominica";
$array['North-America']['DominicanRepublic'] = "Dominican Republic";
$array['North-America']['ElSalvador'] = "El Salvador";
$array['North-America']['Greenland'] = "Greenland";
$array['North-America']['Grenada'] = "Grenada";
$array['North-America']['Guatemala'] = "Guatemala";
$array['North-America']['Haiti'] = "Haiti";
$array['North-America']['Honduras'] = "Honduras";
$array['North-America']['Jamaica'] = "Jamaica";
$array['North-America']['Mexico'] = "Mexico";
$array['North-America']['Nicaragua'] = "Nicaragua";
$array['North-America']['Panama'] = "Panama";
$array['North-America']['SaintKittsAndNevis'] = "Saint Kitts and Nevis";
$array['North-America']['SaintLucia'] = "Saint Lucia";
$array['North-America']['SaintVincentAndTheGrenadines'] = "Saint Vincent and the Grenadines";
$array['North-America']['TrinidadAndTobago'] = "Trinidad and Tobago";
$array['North-America']['USA'] = "United States of America";

$array['Oceania']['Australia'] = "Australia";
$array['Oceania']['Fiji'] = "Fiji";
$array['Oceania']['Indonesia'] = "Indonesia";
$array['Oceania']['Kiribati'] = "Fiji";
$array['Oceania']['MarshallIslands'] = "Marshall Islands";
$array['Oceania']['Micronesia'] = "Federated States of Micronesia";
$array['Oceania']['Nauru'] = "Nauru";
$array['Oceania']['NewZealand'] = "New Zealand";
$array['Oceania']['Palau'] = "Palau";
$array['Oceania']['PapuaNewGuinea'] = "Papua New Guinea";
$array['Oceania']['Samoa'] = "Samoa";
$array['Oceania']['SolomonIslands'] = "Solomon Islands";
$array['Oceania']['Tonga'] = "Tonga";
$array['Oceania']['Tuvalu'] = "Tuvalu";
$array['Oceania']['Vanuatu'] = "Vanuatu";

$array['South-America']['Argentina'] = "Argentina";
$array['South-America']['Bolivia'] = "Bolivia";
$array['South-America']['Brazil'] = "Brazil";
$array['South-America']['Chile'] = "Chile";
$array['South-America']['Colombia'] = "Colombia";
$array['South-America']['Ecuador'] = "Ecuador";
$array['South-America']['FrenchGuiana'] = "French Guiana";
$array['South-America']['Guyana'] = "Guyana";
$array['South-America']['Paraguay'] = "Paraguay";
$array['South-America']['Peru'] = "Peru";
$array['South-America']['Suriname'] = "Suriname";
$array['South-America']['Uruguay'] = "Uruguay";
$array['South-America']['Venezuela'] = "Venezuela";

you can build a country list using drupal form api select element like :

function mycountry_form($form_state) {
$form['country_list'] = array(
  '#type' => 'select',
  '#options' => $array,
  '#title' => t('My Country List'),
 );
return $form;
}

Easy isn't it?