ESRI shape

Coverage	Web link	Alternative web link
Worldwide map of countries	http://en.wikipedia.org/wiki/Global_Administrative_Unit_Layers_(GAUL)	http://www.bluemarblegeo.com/products/worldmapdata.php?op=download (a lower resolution map)
US time zones	http://www.nationalatlas.gov/mld/timeznp.html	0
US states	http://www.nationalatlas.gov/mld/statesp.html	http://www.census.gov/geo/www/cob/st2000.html#shp
US counties	http://www.nationalatlas.gov/mld/countyp.html
US ZIP codes	http://www.census.gov/geo/www/cob/z32000.html for 3 digits	http://www.census.gov/geo/www/cob/z52000.html for 5 digits