Except nobody says "Phoenix, USA"...
(Maybe it's just an American thing?!)
Also, remember that "I" might want to do things on the back end like determine that I have 100 users in the state of Arizona based on Zip Code.
Debbie
Well those fields would have to be available to your script in the Database, so I would give the option to your users for postal code, country, city, region, state...etc You can check through certain countries and enable/disable some fields based on the location, but this would definately take too long.
I know alot of shopping sites that ship world-wide just display ALL options for the addresses, even though some places only have provinces and not states, and vice versa.