If anybody interested: I made a Country List taxonomy vocabulary for drupalsites.net. Which is reusable of course. It is exported via taxonomy_xml module. So you can easily import it to your project with the same module.

NOTE: somehow it hung and did not import the taxonomy if I tried to import vocabluary to an existig one. But I'd recommend to import it to "determined by source file". The process will create a new vocabulary called 'Countries'.

Enjoy!