Best practice for list of countries (SQL, XML, …)

[mkzyikz]

While developing an website or web application, I'm wondering what is a best practice when you need list of world countries - is it better to use Countries table in SQL, store all values to XML or something else?In example, let's say that I need to store country for each user (in SQL) and that I need to use list of countries in one (or more) dropdowns on my website.