Done (apart from all those tiny island countries in the Caribbean and Oceania)

Africa - done
Asia - done
Australia & Oceania -
Caribbean -
Europe - done
North America -
South- Central America - done

=> Learn to identify all the countries on a map using online quizzes like

http://www.funbrain.com/where/index.html
http://www.triviaplaza.com/geography-world-quizzes/
http://www.ilike2learn.com/ilike2learn/geography.asp
http://www.jetpunk.com/tags/geography.php
http://www.lizardpoint.com/fun/geoquiz/oceaniacheat.html