I am considering making a single select list of all countries in the world. Typing in each country would be a tedious job. Is another solution available, like importing a list of countries? The same question goes for the US states.
You can import the countries in a database table (make sure that each country has a unique ID).
When you have the countries available in a table you can use the Database Lookup field to display the contents of the table in a dropdown list.