Use the following online resources first. For historical place names, try also print resources (Library Catalog: Subject Headings = "gazetteers", or "(country)--gazetteers")
Geographic Names Information System (GNIS) - The GNIS contains information about physical and cultural geographic features of all types in the United States, associated areas, and Antarctica, both current and historical. The entries are cumulative, including both historical and current names.
NGA GEOnet Names Server (GNS) - The GNS is the official repository of standard spellings of all foreign place names sanctioned by the US Board on Geographic NameThe database also contains variant spellings (which are useful for finding purposes.
Getty Thesaurus of Geographic Names Online - Another popular gazetteer websity by the Getty Research Institute.
Penguin Encyclopedia of Places - Penguin Encyclopedia of Places. London : Penguin.
Canada : Geographical Names of Canada - Canadian online place name search site.
Europe : The JewishGen ShtetlSeeker - This database contains information on 2,000 Jewish communities (Shtetls) in Eastern and Central Europe plus plus all of the former Soviet Republics, and Turkey, as well as Jewish population figures, historical town names and jurisdictions, and links to JewishGen resources.
Japan : Nihon Rekishi Chimei Taikei - "Japan Historical Geographic Names Dictionary" - a gazetteer of Japan, in Japanese!