About three years ago, I posted about Penn State’s Digital Chart Of The World Server, which hosted old 1991/1992 VMAP0 world vector data from the National Geospatial Agency in E00 format. More recent data is available directly from the NGA, some of it in the higher-resolution VMAP1 dataset not available from Penn State, but the NGA data is in the uncommon VPF format that many GIS programs can’t handle. The Russian GIS Lab website has converted more recent VMAP0 and VMAP1 data into the more-commonly-used shapefile format, and made it openly available for download. You can get VMAP0 data for the whole world at this link, and the higher-resolution VMAP1 data for selected areas at this link.
While you can get similar and much fresher shapefile data for some of this info from the CloudMade OSM shapefile data site, and from the Natural Earth vector dataset, the VMAP0/VMAP1 files include data like railroads, utilities, cultural landmarks and others that can be difficult to track down.