If you are looking for the country state list (list of Countries and it's corresponding States) , here it is. You can download the XML file here which contains the Countries and it's States. I used this to fill my Country and State tables for the OSS project i am working on. It has got 252 countries and 4306 states. Unfortunately there is no state code !
If you are working with c#, You can use the below code to read the contry name and state name from the XML for inserting to your database. I am using LINQtoXML to query the XML. XElement class belongs to System.Xml.Linq namspace. So you need to include thae using statement to refer that in your class.
Big Thanks to Michael John for sharing the XML file in http://www.darwinshome.za.net/blog/2008/02/country-selection-list-with-sate-and-province/