GADM, the Database of Global Administrative Areas, is a high-resolution database of country administrative areas, with a goal of "all countries, at all levels, at any time period." The database has a few export formats, including shapefiles that are used in most common GIS applications. Files formatted for the programming language R are also available, allowing the easy creation of descriptive data plots that include geographical maps.
GADM is not freely available for commercial use.
The GADM website and data repository is hosted at UC Davis in the Hijmans Lab. The Hijman lab is run by Robert Hijmans an Environmental Science and Policy faculty member in the Geography Graduate Group.