It's surprising to see nobody listed all the countries on the old continent. The format is <common English name> - <common local name> - <two letter country code>:
There are also four special cases: countries the territory of which is both in Europe and in Asia:
The border points for the above list were approximately the Atlantic Ocean, Arctic Ocean, Ural Mountains, Ural River, Caspian Sea, Caucasus, Black Sea and Mediterranean Sea.
This is a list of political entities and many of these are arguable. Language poses an additional problem. If you disagree with something or wish to correct an error, please /msg me and I will take note and add to this writeup.
For a list of other names for Europe, see http://www.geonames.de/land.html#eur