I made a research over the internet and I found that exists 195 countries around the world with their capital.

Below is the list with the capitals of the world:

Afghanistan - Kabul
Albania - Tirane
Algeria - Algiers
Andorra - Andorra la Vella
Angola - Luanda
Antigua and Barbuda - Saint John's
Argentina - Buenos Aires
Armenia - Yerevan
Australia - Canberra
Austria - Vienna
Azerbaijan - Baku
The Bahamas - Nassau
Bahrain - Manama
Bangladesh - Dhaka
Barbados - Bridgetown
Belarus - Minsk
Belgium - Brussels
Belize - Belmopan
Benin - Porto-Novo
Bhutan - Thimphu
Bolivia - La Paz (administrative); Sucre (judicial)
Bosnia and Herzegovina - Sarajevo
Botswana - Gaborone
Brazil - Brasilia
Brunei - Bandar Seri Begawan
Bulgaria - Sofia
Burkina Faso - Ouagadougou
Burundi - Bujumbura
Cambodia - Phnom Penh
Cameroon - Yaounde
Canada - Ottawa
Cape Verde - Praia
Central African Republic - Bangui
Chad - N'Djamena
Chile - Santiago
China - Beijing
Colombia - Bogota
Comoros - Moroni
Congo, Republic of the - Brazzaville
Congo, Democratic Republic of the - Kinshasa
Costa Rica - San Jose
Cote d'Ivoire - Yamoussoukro (official); Abidjan (de facto)
Croatia - Zagreb
Cuba - Havana
Cyprus - Nicosia
Czech Republic - Prague
Denmark - Copenhagen
Djibouti - Djibouti
Dominica - Roseau
Dominican Republic - Santo Domingo
East Timor (Timor-Leste) - Dili
Ecuador - Quito
Egypt - Cairo
El Salvador - San Salvador
Equatorial Guinea - Malabo
Eritrea - Asmara
Estonia - Tallinn
Ethiopia - Addis Ababa
Fiji - Suva
Finland - Helsinki
France - Paris
Gabon - Libreville
The Gambia - Banjul
Georgia - Tbilisi
Germany - Berlin
Ghana - Accra
Greece - Athens
Grenada - Saint George's
Guatemala - Guatemala City
Guinea - Conakry
Guinea-Bissau - Bissau
Guyana - Georgetown
Haiti - Port-au-Prince
Honduras - Tegucigalpa
Hungary - Budapest
Iceland - Reykjavik
India - New Delhi
Indonesia - Jakarta
Iran - Tehran
Iraq - Baghdad
Ireland - Dublin
Israel - Jerusalem
Italy - Rome
Jamaica - Kingston
Japan - Tokyo
Jordan - Amman
Kazakhstan - Astana
Kenya - Nairobi
Kiribati - Tarawa Atoll
Korea, North - Pyongyang
Korea, South - Seoul
Kosovo - Pristina
Kuwait - Kuwait City
Kyrgyzstan - Bishkek
Laos - Vientiane
Latvia - Riga
Lebanon - Beirut
Lesotho - Maseru
Liberia - Monrovia
Libya - Tripoli
Liechtenstein - Vaduz
Lithuania - Vilnius
Luxembourg - Luxembourg
Macedonia - Skopje
Madagascar - Antananarivo
Malawi - Lilongwe
Malaysia - Kuala Lumpur
Maldives - Male
Mali - Bamako
Malta - Valletta
Marshall Islands - Majuro
Mauritania - Nouakchott
Mauritius - Port Louis
Mexico - Mexico City
Micronesia, Federated States of - Palikir
Moldova - Chisinau
Monaco - Monaco
Mongolia - Ulaanbaatar
Montenegro - Podgorica
Morocco - Rabat
Mozambique - Maputo
Myanmar (Burma) - Rangoon (Yangon); Naypyidaw or Nay Pyi Taw (administrative)
Namibia - Windhoek
Nauru - no official capital; government offices in Yaren District
Nepal - Kathmandu
Netherlands - Amsterdam; The Hague (seat of government)
New Zealand - Wellington
Nicaragua - Managua
Niger - Niamey
Nigeria - Abuja
Norway - Oslo
Oman - Muscat
Pakistan - Islamabad
Palau - Melekeok
Panama - Panama City
Papua New Guinea - Port Moresby
Paraguay - Asuncion
Peru - Lima
Philippines - Manila
Poland - Warsaw
Portugal - Lisbon
Qatar - Doha
Romania - Bucharest
Russia - Moscow
Rwanda - Kigali
Saint Kitts and Nevis - Basseterre
Saint Lucia - Castries
Saint Vincent and the Grenadines - Kingstown
Samoa - Apia
San Marino - San Marino
Sao Tome and Principe - Sao Tome
Saudi Arabia - Riyadh
Senegal - Dakar
Serbia - Belgrade
Seychelles - Victoria
Sierra Leone - Freetown
Singapore - Singapore
Slovakia - Bratislava
Slovenia - Ljubljana
Solomon Islands - Honiara
Somalia - Mogadishu
South Africa - Pretoria (administrative); Cape Town (legislative); Bloemfontein (judiciary)
Spain - Madrid
Sri Lanka - Colombo; Sri Jayewardenepura Kotte (legislative)
Sudan - Khartoum
Suriname - Paramaribo
Swaziland - Mbabane
Sweden - Stockholm
Switzerland - Bern
Syria - Damascus
Taiwan - Taipei
Tajikistan - Dushanbe
Tanzania - Dar es Salaam; Dodoma (legislative)
Thailand - Bangkok
Togo - Lome
Tonga - Nuku'alofa
Trinidad and Tobago - Port-of-Spain
Tunisia - Tunis
Turkey - Ankara
Turkmenistan - Ashgabat
Tuvalu - Vaiaku village, Funafuti province
Uganda - Kampala
Ukraine - Kyiv
United Arab Emirates - Abu Dhabi
United Kingdom - London
United States of America - Washington D.C.
Uruguay - Montevideo
Uzbekistan - Tashkent
Vanuatu - Port-Vila
Vatican City (Holy See) - Vatican City
Venezuela - Caracas
Vietnam - Hanoi
Yemen - Sanaa
Zambia - Lusaka
Zimbabwe - Harare

You can find plenty of websites that list or mention the world capitals for most of the countries on the globe. Here are the resources you can check out:

1) http://geography.about.com/od/countryinformation/a/capitals.htm
This About.com page lists most of the world capitals for countries from Afghanistan to Zimbabwe. A great list for you to refer to.

2) http://worldcapitals.info/
This page is awesome for it features the earth in its background and capitals list on top. Cluttered-free interface and filtering option is what makes this page great. You should check it out.

3) http://www.infoplease.com/ipa/A0855603.html
This page not only lists the capital cities against each country of the world but also the capital's population. A nice informative page to check out.

4) http://en.wikipedia.org/wiki/List_of_national_capitals
This Wikipedia page lists the national capitals alphabetically from Abu Dhabi to Zagreb. A useful resource to check out which capital belongs to which country.

5) http://www.citymayors.com/features/capitals.html
Another page that lists the population of each capital city. Great to browse through.

These are a few online resources but you can refer to any Atlas for a complete list of world capitals and their geographical information.

Hope it helps!