If you will not be shipping your products to certain countries or want to ship only to specific countries you may either delete the countries you will not be dealing with or disable them in contact forms and/or delivery forms.
Deleting Countries
In admin under System > Locations > Countries, click on Delete next to the name of the countries you do not plan on doing business with.
“Hiding” Countries
In admin under System > Locations > Countries, click on Update next to the country you want to modify. In the Display menu option on the left you will find the field named Display in Contact Forms which controls whether or not the country is shown on the Contact form. The field named Display in Delivery Forms controls whether or not the country is shown on the Delivery form.