I am looking for some data. The data I'm looking for a basically a
list of countries that is then split down into the regions within that
country (states or counties). For example:-

United States of America
    Alaska
    Alabama
    Arizona
    Arkansas
    California
    Colorado
    Connecticut
    Delaware...

The list needs to include every country in the world and needs to
split all into regions. The data can be in any format that I can
access easily (text file, document, spreadsheet, etc...).

I believe you'll find all the information you're looking for right
here, in an easily downloadable format:

http://www.geobytes.com/FreeServices.htm

"GeoWorldMap is a database that contains the cities of the world with
their country, region, latitude, longitude and more."

After you download and open the file, you'll find that there are
several files in your folder.  One named "Countries" contains
numerical country codes (for instance, Brazil is "33").  Another named
"Regions" gives you all the regions within each country (using he
country code rather than name).

For instance, the Brazil regions are:

33,"Acre"
33,"Amapá"
33,"Bahia"
33,"Goiás"
33,"Piauí"
33,"Ceará"
33,"Paraná"
33,"Alagoas"
33,"Paraíba"
33,"Roraima"
33,"Sergipe"
33,"Amazonas"
33,"Maranhão"
33,"Rondônia"
33,"São Paulo"
33,"Tocantins"
33,"Mato Grosso"
33,"Minas Gerais"
33,"Espírito Santo"
33,"Rio de Janeiro"
33,"Santa Catarina"
33,"Rio Grande do Sul"
33,"Mato Grosso do Sul"
33,"Rio Grande do Norte"


Before rating this answer, please let me know if you run into any
problems with the GeoWordMap data.  Just post a Request for
Clarification to let me know how I can help, and I'm more than happy
to do so.

Enjoy!

pafalafa-ga


search strategy:  Used bookmarked site for Geobytes