You'd think that something so fundamental as a digital map of the world would be freely available. I was looking for a map with political boundaries (ie. countries) in Arc/Info shapefile format, but there is not much out there. My best finds were when google pointed me straight to ftp directories. Other than that, the UN also provided the goods, but in a slightly less optimal form, at their GEO Data Portal - just search for "boundaries". You can preview the map online before you commit to downloading the dataset.
And what possible use could I have for such data? It's the world's most fun geography game, written using MapScript/PHP, a part of Mapserver, a web-based GIS visualiser. Unfortunately the game is not publically accessible online because it uses PHP extensions which my hosting provider does not provide.
Update
There's some good world data at the Virtual Laboratory for Geographic Information System and Remote Sensing, in the sample data for their GIS tutorials.