Download data for the whole world

These are very large files that may take a long time to download.
It is best to download by country.

But if you really want the whole world you can download version 2.7 as a ESRI file geodatabase. Either as a single layer or with six layers (one for each level of subdivision).

Previous version (2.0): shapefile, ESRI geodatabase, or ESRI personal geodatabase.

Here is link to version 1.