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United Kingdom

On May 6 1840, the Penny Black became the world's first postage stamp in use. The stamp was originally for use only within the United Kingdom of Great Britain and Ireland and as such was, in effect, a local stamp. For this reason the name of the country was not included within the design, a situation which continued by agreement with foreign post offices, provided the sovereign's effigy appeared on the stamp. Envelopes sold with postage paid did not include this, so were marked with the country's name. In 1951, the special commemorative issue for the Festival of Britain included the name "Britain" incidentally. It could therefore be said that the name of the country then appeared for the first time on a stamp of the UK, although the word "British" had appeared on British Empire Exhibition commemorative stamps of 1924.
After the stamp was circulating, it became obvious that black was not a good choice of stamp colour, since any cancellation marks were hard to see. So from 1841 onwards, the stamps were printed in a brick-red colour. The Penny Reds continued in use for decades with about 21 billion being produced. [source: Wikipedia]