I'm looking for a shapefile containing all EU countries / regions / districts / city boundaries.
The Global Administrative Areas dataset is available as a shapefile or file geodatabase;
Also as several other handy formats (only available when you download an individual country though);
- Google Earth KMZ
- R SpatialPolygonsDataFrame
Given you're interested in Europe it might be best to download the whole globe (found here http://gadm.org/version2) and clip down to your area.
You can use OpenStreetMap data. Just download the Europe dump and process it.
$ osmosis --read-pbf europe.osm.pbf --tf accept-ways "boundary=administrative" --used-node --write-pbf boundaries.osm.pbf
$ ogr2ogr -f SQLite boundaries.sqlite boundaries.osm.pbf
It will create a SQLite database that you can use to create the shapefile in Qgis or with more ogr2ogr processing.
For more explanations about boundary tag, check http://wiki.openstreetmap.org/wiki/Tag:boundary%3Dadministrative
For data sets and services, that provide access to such data sets, for the European Union (EU) you should look at the INSPIRE GeoPortal
I found EuroGlobalMap
EuroGlobalMap is a 1:1 million scale topographic dataset covering 45 countries and territories in the European region.
The dataset contains six themes:
The water network