Jeff Pries shows how to use the Natural Earth data set in SQL Server:
But what about when you need more flexibility in your geographic display? Some examples of this may be wanting to display something that you can’t find a shape file for (maybe all the states and provinces in North America) or maybe you want to dynamically draw the geography based on some property of the dataset. Geospatial data queries to the rescue! Using SQL Server’s native geospatial support, a geospatial query can be created to return something as simple as a point or rectangle, or complex as the geography of an entire country and all of its rivers.
Getting all of the latitude and longitude coordinates to create a useful geospatial query could potentially be an enormous amount of work. Fortunately, that work has already been done in a freely available resource, thanks to Natural Earth and Laurent Dupuis. SQL Server 2012 or greater is recommended for this process.
Click through for a walkthrough as well as some introductory queries to get you started with using the data set.