Here is a short tutorial on how to create easy city-lists.
1 - Go to wikipedia, and search for the list you need. One link that has a lot of countries is this one (http://en.wikipedia.org/wiki/Category:Lists_of_municipalities)
As an example, we'll use Switzerland (http://en.wikipedia.org/wiki/List_of_municipalities_of_Switzerland)
As you see, we know have to strip those regions out of the list, to get only the city names.
We have two ways of doing that. If you are not using linux, proceed. Otherwise, jump to Linux section.
(Windows)
2 - Copy-paste the table into excel/libreoffice calc
3 - Copy-paste the first column (we don't want the regions) into notepad, and save the file.
(Linux)
2 - Copy-paste the table into a text file (lets say, switzerland.txt)
3 - Run
sed -r 's/ .*//' switzerland.txt > citylist_ch.txt
Hope this helps! ;D