Administrative Boundaries

There are several GIS datasets on administrative boundaries.

GADM is the most popular among economists. My experiences of using both GADM and GAUL show that GADM is indeed more trustworthy than GAUL.

• GAUL's parish (fourth level administrative boundary) data for Uganda shows multiple polygons for the same parish name. This is not the case for GADM.
• GAUL's coastline on the south of Baku in Azerbaijan is drawn where elevation (according to SRTM30: see this post) is above zero meter while GADM's coastline is drawn where elevation changes from positive to negative values.

National Boundaries

the World Vector Shoreline (WVS)

• includes the shoreline data as well.
• used by Alesina, Easterly, and Matuszeski (2006) to measure how artificial a state border is. 

CShapes

• If you're interested in the historical national boundaries since 1945

Sub-national Boundaries

Global Administrative Areas (GADM)

• an alternative to GAUL. Whether it is better or worse is not clear. 
• mentioned by Gleditsch and Weidmann (2012) in their review of spatial data analysis in political science.
• Used by the Gridded Population of the World Version 4 (see here).
• Used by Dreher et al (2015).
• They mention that GADM does not include the second level administrative boundaries (counties/districts) for Egypt, Equatorial Guinea, Lesotho, Libya, and Swaziland.
• Also used by Alesina et al. (2016) to measure inequality across subnational administrative regions (which turns out to be negatively correlated with per capita GDP).

Global Administrative Unit Layers (GAUL)

• Supposedly an annual panel data from 1990, but the district boundary changes are properly tracked only for some countries.
• Used by Briggs (2015).

CIESIN-CIAT Subnational Administrative Boundaries

• part of the Gridded World of the Population version 3.
• available for 1990, 1995, and 2000
• recommended if your analysis involves population, because then the data is consistent with the population data by the Gridded World of the Population
• used by Hodler and Raschky (2014)

The Second Administrative Level Boundaries (SALB) dataset

• compiled by the United Nations
• provides the GIS data on second-tier subnational administrative boundaries (ie. district boundaries). 
• I'm not sure whether the GAUL dataset mentioned above incorporates this or the SALB dataset has its original data.

Statoids.com

• For subnational boundary changes during early years
• This is the online updated version of the book Administrative Subdivisions of Countries by Gwillim Law (Jefferson, North Carolina: McFarland & Company, 1999).
• provides the list of administrative regions for every country, past and present. Very useful if you need to match different sub-national or micro datasets based on sub-national regions, especially when a country of your interest has changed the boundaries of sub-national regions quite frequently such as Nigeria and Uganda.