Above is the map of the fullest possible extent of the empire, including eventually abandoned German territories up to the Elbe river, the temporary Dacian, as well as the Armenian and Persian territories of emperor Trajan and the advance to the Antonine Wall in Scotland under emperor Antoninus. The boundaries drawn in black are an attempt at showing the current day national boundaries in relation to the empire. Below you find a list of nations which were either definitely part of the Roman empire, or possibly so. Also included are some countries which had some frontline outposts in them.
The principal modern day nations of the Roman Empire are in bold print. Other countries which only saw some form of Roman occupation, or of whose effective membership of the empire I am unsure of, are listed in normal print.
Portugal - Spain - Andorra - United Kingdom - France - Monaco - Luxembourg - Belgium - Netherlands - Germany - Switzerland - Liechtenstein - Italy - San Marino - Vatican City - Malta - Austria - Czech Republic - Slovakia - Slovenia - Croatia - Bosnia-Herzegovina - Hungary - Yugoslavia - Albania - Greece - FYR Macedonia - Romania - Bulgaria - Turkey - Georgia - Armenia - Azerbaijan - Syria - Iraq - Kuwait - Cyprus - Lebanon - Jordania - Israel - Saudi Arabia - Egypt - Sudan - Lybia - Tunisia - Algeria - Morocco - Palestine
That's pretty cool.