GeoNames - A Gazetteer to the World
Always fascinating what people will compile and re-distribute -- at amazingly good prices too! Take this site. It's essentually a gazetteer to the world, in downloadable formats as well as an API. Want to know, for example, where the Black Stars of Ghana play their football? You'll find it here.
Note that the Postal Codes are at the top adminstrative level (e.g., State in the US). It does not include delivery codes such as ZIP Codes.