These 2 sites have incredible Map Memorization Games for all locations around the world. Check them out:
Seterra Online
Sheppardsoftware

USA
USA Capitals
USA States
USA Physical Geography

North America
North America Countries
North America by Flag, Capital, and Country
North America Capitals
Central America (North America) Capitals

South America
Countries & Capitals of South America
Capitals of South America
Physical Geography of South America

Western & Central Europe
Difference between United Kingdom, Great Britain, & England
Western & Central Europe Countries & Capitals
The Countries of Europe
Western Europe Countries
Northern, Western, & Central Europe Countries

Eastern Europe
Eastern Europe Countries
More Eastern Europe Countries
Eastern Europe Capitals
More Eastern Europe Capitals
Eastern Europe by Flag, Capital, Country

Physical Geography of Africa
http://www.sheppardsoftware.com/Africa-georegion.html
http://www.sheppardsoftware.com/Africa-georegion-click.html
http://www.sheppardsoftware.com/Africa-rivers.html
http://www.purposegames.com/game/africa-physical-map-quiz-quiz
http://www.purposegames.com/game/esms-africa-physical-features-map-quiz-quiz
http://www.purposegames.com/game/africa-physical-map-quiz-quiz
http://www.purposegames.com/game/africa-physical-features-map-quiz-quiz

North & West Africa
Countries of North and West Africa
Countries of Northwest Africa
North Africa Country Capitals
Capital Cities of North and West Africa
North Africa Physical Geography

East, Central, & Southern Africa
East Africa by Flag, Capital, Country
East Africa Capitals and Countries
East & Central Africa Capitals
Central & Southern Africa Countries
Central Africa Countries
Southern Africa Capitals and Countries

Middle East, West & Central Asia
West Asia Countries
The "Stans" Countries Quiz
The "Stans" Capitals Quiz
The Caucasus and the "Stans" Captials Quiz
Western Asia by Flag, Capital, Country
Southwest Asia Countries
Southwest Asia Capitals and Important Cities
Capitals of the Middle East
Capitals of the Middle East 2

East, South, & Southeast Asia
South Asia Countries
South Asia Countries & Capitals
East, South, & Southeast Asia Countries
East, South, & Southeast Asia Countries 2
Southeast Asia Capitals
East Asia Countries
East Asia Countries and Capitals