There are a lot of snippets if you want countries in a select box (dropdown). I wanted them as check boxes organized by Continent. In my implementation (not represented in this code). I added ajax toggles so that each Continent's countries were hidden until expanded. Made a fun and impressive form.

I wrapped both the label text and the input field within the label tags. Not exactly how w3 suggests but it validates and allows you to format this form nicer. Simple sample CSS included: