Here's a hint: they don't come from countries where people speak English.
Complex sat down with a number of recent shooters and plotted where on the map the game's villains (or at least opposing force) came from. And, this may shock you, but they nearly all came from either former communist states, communist states or the developing world.
The only real exception to this was Germany, but that was including a game set in the Second World War, so that one doesn't count.
Being a selection of games, though, it is by its very nature selective. You could say, for example, that the real bad guys in Modern Warfare 2 are American. Or, if you want to take the piss, that the bad guys in Killzone are British. British Space Nazis from a fictitious future, perhaps, but British nonetheless!
And if you're from Canada, New Zealand or Australia? Congratulations. You're one of the good guys!