<?php
$countries = array(
  "AU" => "Australia",
  "AF" => "Afghanistan",
  "AL" => "Albania",
  "DZ" => "Algeria",
  "AS" => "American Samoa",
  "AD" => "Andorra",
  "AO" => "Angola",
  "AI" => "Anguilla",
  "AQ" => "Antarctica",
  "AG" => "Antigua & Barbuda",
  "AR" => "Argentina",
  "AM" => "Armenia",
  "AW" => "Aruba",
  "AT" => "Austria",
  "AZ" => "Azerbaijan",
  "BS" => "Bahamas",
  "BH" => "Bahrain",
  "BD" => "Bangladesh",
  "BB" => "Barbados",
  "BY" => "Belarus",
  "BE" => "Belgium",
  "BZ" => "Belize",
  "BJ" => "Benin",
  "BM" => "Bermuda",
  "BT" => "Bhutan",
  "BO" => "Bolivia",
  "BA" => "Bosnia/Hercegovina",
  "BW" => "Botswana",
  "BV" => "Bouvet Island",
  "BR" => "Brazil",
  "IO" => "British Indian Ocean Territory",
  "BN" => "Brunei Darussalam",
  "BG" => "Bulgaria",
  "BF" => "Burkina Faso",
  "BI" => "Burundi",
  "KH" => "Cambodia",
  "CM" => "Cameroon",
  "CA" => "Canada",
  "CV" => "Cape Verde",
  "KY" => "Cayman Is",
  "CF" => "Central African Republic",
  "TD" => "Chad",
  "CL" => "Chile",
  "CN" => "China, People's Republic of",
  "CX" => "Christmas Island",
  "CC" => "Cocos Islands",
  "CO" => "Colombia",
  "KM" => "Comoros",
  "CG" => "Congo",
  "CD" => "Congo, Democratic Republic",
  "CK" => "Cook Islands",
  "CR" => "Costa Rica",
  "CI" => "Cote d'Ivoire",
  "HR" => "Croatia",
  "CU" => "Cuba",
  "CY" => "Cyprus",
  "CZ" => "Czech Republic",
  "DK" => "Denmark",
  "DJ" => "Djibouti",
  "DM" => "Dominica",
  "DO" => "Dominican Republic",
  "TP" => "East Timor",
  "EC" => "Ecuador",
  "EG" => "Egypt",
  "SV" => "El Salvador",
  "GQ" => "Equatorial Guinea",
  "ER" => "Eritrea",
  "EE" => "Estonia",
  "ET" => "Ethiopia",
  "FK" => "Falkland Islands",
  "FO" => "Faroe Islands",
  "FJ" => "Fiji",
  "FI" => "Finland",
  "FR" => "France",
  "FX" => "France, Metropolitan",
  "GF" => "French Guiana",
  "PF" => "French Polynesia",
  "TF" => "French South Territories",
  "GA" => "Gabon",
  "GM" => "Gambia",
  "GE" => "Georgia",
  "DE" => "Germany",
  "GH" => "Ghana",
  "GI" => "Gibraltar",
  "GR" => "Greece",
  "GL" => "Greenland",
  "GD" => "Grenada",
  "GP" => "Guadeloupe",
  "GU" => "Guam",
  "GT" => "Guatemala",
  "GN" => "Guinea",
  "GW" => "Guinea-Bissau",
  "GY" => "Guyana",
  "HT" => "Haiti",
  "HM" => "Heard Island And Mcdonald Island",
  "HN" => "Honduras",
  "HK" => "Hong Kong",
  "HU" => "Hungary",
  "IS" => "Iceland",
  "IN" => "India",
  "ID" => "Indonesia",
  "IR" => "Iran",
  "IQ" => "Iraq",
  "IE" => "Ireland",
  "IL" => "Israel",
  "IT" => "Italy",
  "JM" => "Jamaica",
  "JP" => "Japan",
  "JT" => "Johnston Island",
  "JO" => "Jordan",
  "KZ" => "Kazakhstan",
  "KE" => "Kenya",
  "KI" => "Kiribati",
  "KP" => "Korea, Democratic Peoples Republic",
  "KR" => "Korea, Republic of",
  "KW" => "Kuwait",
  "KG" => "Kyrgyzstan",
  "LA" => "Lao People's Democratic Republic",
  "LV" => "Latvia",
  "LB" => "Lebanon",
  "LS" => "Lesotho",
  "LR" => "Liberia",
  "LY" => "Libyan Arab Jamahiriya",
  "LI" => "Liechtenstein",
  "LT" => "Lithuania",
  "LU" => "Luxembourg",
  "MO" => "Macau",
  "MK" => "Macedonia",
  "MG" => "Madagascar",
  "MW" => "Malawi",
  "MY" => "Malaysia",
  "MV" => "Maldives",
  "ML" => "Mali",
  "MT" => "Malta",
  "MH" => "Marshall Islands",
  "MQ" => "Martinique",
  "MR" => "Mauritania",
  "MU" => "Mauritius",
  "YT" => "Mayotte",
  "MX" => "Mexico",
  "FM" => "Micronesia",
  "MD" => "Moldavia",
  "MC" => "Monaco",
  "MN" => "Mongolia",
  "MS" => "Montserrat",
  "MA" => "Morocco",
  "MZ" => "Mozambique",
  "MM" => "Union Of Myanmar",
  "NA" => "Namibia",
  "NR" => "Nauru Island",
  "NP" => "Nepal",
  "NL" => "Netherlands",
  "AN" => "Netherlands Antilles",
  "NC" => "New Caledonia",
  "NZ" => "New Zealand",
  "NI" => "Nicaragua",
  "NE" => "Niger",
  "NG" => "Nigeria",
  "NU" => "Niue",
  "NF" => "Norfolk Island",
  "MP" => "Mariana Islands, Northern",
  "NO" => "Norway",
  "OM" => "Oman",
  "PK" => "Pakistan",
  "PW" => "Palau Islands",
  "PS" => "Palestine",
  "PA" => "Panama",
  "PG" => "Papua New Guinea",
  "PY" => "Paraguay",
  "PE" => "Peru",
  "PH" => "Philippines",
  "PN" => "Pitcairn",
  "PL" => "Poland",
  "PT" => "Portugal",
  "PR" => "Puerto Rico",
  "QA" => "Qatar",
  "RE" => "Reunion Island",
  "RO" => "Romania",
  "RU" => "Russian Federation",
  "RW" => "Rwanda",
  "WS" => "Samoa",
  "SH" => "St Helena",
  "KN" => "St Kitts & Nevis",
  "LC" => "St Lucia",
  "PM" => "St Pierre & Miquelon",
  "VC" => "St Vincent",
  "SM" => "San Marino",
  "ST" => "Sao Tome & Principe",
  "SA" => "Saudi Arabia",
  "SN" => "Senegal",
  "SC" => "Seychelles",
  "SL" => "Sierra Leone",
  "SG" => "Singapore",
  "SK" => "Slovakia",
  "SI" => "Slovenia",
  "SB" => "Solomon Islands",
  "SO" => "Somalia",
  "ZA" => "South Africa",
  "GS" => "South Georgia and South Sandwich",
  "ES" => "Spain",
  "LK" => "Sri Lanka",
  "XX" => "Stateless Persons",
  "SD" => "Sudan",
  "SR" => "Suriname",
  "SJ" => "Svalbard and Jan Mayen",
  "SZ" => "Swaziland",
  "SE" => "Sweden",
  "CH" => "Switzerland",
  "SY" => "Syrian Arab Republic",
  "TW" => "Taiwan, Republic of China",
  "TJ" => "Tajikistan",
  "TZ" => "Tanzania",
  "TH" => "Thailand",
  "TL" => "Timor Leste",
  "TG" => "Togo",
  "TK" => "Tokelau",
  "TO" => "Tonga",
  "TT" => "Trinidad & Tobago",
  "TN" => "Tunisia",
  "TR" => "Turkey",
  "TM" => "Turkmenistan",
  "TC" => "Turks And Caicos Islands",
  "TV" => "Tuvalu",
  "UG" => "Uganda",
  "UA" => "Ukraine",
  "AE" => "United Arab Emirates",
  "GB" => "United Kingdom",
  "UM" => "US Minor Outlying Islands",
  "US" => "USA",
  "HV" => "Upper Volta",
  "UY" => "Uruguay",
  "UZ" => "Uzbekistan",
  "VU" => "Vanuatu",
  "VA" => "Vatican City State",
  "VE" => "Venezuela",
  "VN" => "Vietnam",
  "VG" => "Virgin Islands (British)",
  "VI" => "Virgin Islands (US)",
  "WF" => "Wallis And Futuna Islands",
  "EH" => "Western Sahara",
  "YE" => "Yemen Arab Rep.",
  "YD" => "Yemen Democratic",
  "YU" => "Yugoslavia",
  "ZR" => "Zaire",
  "ZM" => "Zambia",
  "ZW" => "Zimbabwe"
);

$selected = ' selected="selected"';
$_country = NULL;
if ( isset($_GET['country']) ) {
    $_country = isset($countries[$_GET['country']]) ? $_GET['country'] : NULL;
}

echo "<select name=\"country\">";
echo "<option>--- Please select your country --- </option>\n";
foreach ( $countries as $code => $country ) {
    echo "<option value=\"$code\"";
    if ( $_country == $code ) {
    echo $selected;
    }
    echo ">$country</option>\n";
}
echo "</select>";
?>

After i saw this snippet http://snipplr.com/view/33790/form-country-code-select-with-if-selected-test/ i wanted to make the code better :D
To make it easier to maintain

Form -- country code generated from an array of countries + codes

form, array

PHP