You could simply take the country/state data from that site, however I would not recommend doing so. I just checked a couple of countries I know and the data is rubbish.
The names that appear under "state" are a mixture of towns/cities and historical/political/administrative regions and are not mutually exclusive (ie for some towns their region is also listed).
The labels "country" and "state" are also incorrect, since for many (arguably all) nations these are synonymous terms.
Look around for a better example on the web.