Ukraine is in the news this week because of Euro 2012, the football championships, and there was an interesting article on the BBC website about why what used to be known as 'the Ukraine' is now just Ukraine. The Ukrainian government is keen to stress that the correct name is Ukraine, without the definite article. Krai in Russian means 'edge' or 'border', so Ukraine was initially so named because it was 'on the edge of the Russian empire'. Another name for Ukraine during the days of the tsarist empire was Little Russia, a term which the 19th-century Ukrainian writer Nikolai Gogol often used. The Ukrainian government wants to get rid of 'the', presumably, to get away from any connotations of 'on the edge'.
These days we usually say Congo, Sudan and Lebanon, whereas it used to be common to say the Congo, the Sudan and the Lebanon. Professor Mark Liberman, quoted in the aforementioned article, thinks that the 'the' goes back to the original reason for the country's names - they were named after a geographical feature, such as the Congo river, the Sudan desert, or the Lebanon mountain range (and we usually keep 'the' with river names - the Thames, the Nile etc). It occurred to me that perhaps that is why, closer to home (on Merseyside), we say both Wirral and the Wirral - I suppose 'the Wirral' was originally short for 'the Wirral peninsula'.
You cannot leave 'the' out of the country names the United Kingdom or the United States - the 'the' is needed before the nouns 'kingdom' and 'states'. This is probably the reason why we tend to say 'the Netherlands' - nether means 'low', so the Netherlands means 'low countries'.
Here's the full article.