ESRI shape

Coverage	Web link	Alternative web link
Worldwide map of countries	http://en.wikipedia.org/wiki/Global_Administrative_Unit_Layers	http://www.bluemarblegeo.com/products/worldmapdata.php?op=download (a lower resolution map)
US states	http://nationalmap.gov/small_scale/atlasftp.html	http://www.census.gov/geo/maps-data/data/cbf/cbf_state.html (various scales)
US counties	http://www.census.gov/geo/maps-data/maps/county_wall.html	http://www.census.gov/geo/maps-data/data/cbf/cbf_counties.html (various scales)
US ZIP codes	http://www.arcgis.com/home/item.html?id=8d2012a2016e484dafaac0451f9aea24	0