I wrote a little console application that uses the CRM Metadata Service to create a Picklist attribute on the contact entity called country and adds all of the options to it. With a little modification, you can make it create any other picklist attributes..
I got a copy of the list of countries (ISO 3166) from here here
I’ve uploaded the solution to my SkyDrive account, just remember to update the app.config file (fairly straightforward) and also add a reference to the CRM Metadata Web Service and name it MetadataSdk.
Happy coding!