Someone told me about a R package with the definition of objects some regions and nations boundaries. I'm trying to find the border of Veneto, an italian region. What's the name of the package? Do you know an alternative way to find that border (I'm not sure that Veneto is included in the package)??
The best place to find classes of R packages is with a task view: http://cran.r-project.org/web/views/
Within task views, the Spatial view is going to have a large number of options: http://cran.r-project.org/web/views/Spatial.html
Part of the complexity is that there are different levels of granularity or zoom levels. You probably are looking for something that has polygons for nations and polygons for states/provinces within nations. That would make the "maps" and "mapsdata" packages most relevant, [I don't have enough reputation to post links to those]
The best way to learn R tools is with vignettes, so a search for "R vignette maps mapdata" is a great way to start.
Mapping data is a big ball of wax, because many different disciplines have very different needs for their data, hence you have tools from the GIS community, spatial statistics, geology, political science, etc. The "Applied Spatial Data Analysis with R" is a nice overview of working with spatial data in R.
On the software side : an alternative way of getting your data in R would be to find the package that imports spatial datasets. For example rgdal (https://gis.stackexchange.com/questions/19064/how-to-open-a-shapefile-in-r)
On the open data side : there is a lot of websites that offers world administrative contour in shapefile format (it's a GIS format) but also sometimes in R format.
For an academic use only, you can have a look into http://www.gadm.org/ (see Italy and R Data format).
For generic use with Open Data, you can have a look into OSM data (requires some extraction within a GIS like QGIS), Natural Earth (http://www.naturalearthdata.com/) or DIVA-GIS (http://www.diva-gis.org/Data -> http://biogeo.ucdavis.edu/data/diva/adm/ITA_adm.zip) for example.