With "the"
the Alps, the Black Sea, the Pacific Ocean, the Danube river, the Carpathian Mountains, the Caspian Sea, the Delta of Danube, the United Kingdom, the United States of America, the North Pole, the Persian Gulf
Without "the"
Bucharest, Romania, Moldavia, Bulgaria, Hungary, Poland, Italy, Germany, Budapest, Paris, London, Berlin, Lake Michigan, Africa, Europe, Oxford Street, Sunset Boulevard