Off the top of my head:
London, UK
Paris, France
Amsterdam, Netherlands
Brussels, Belgium
Madrid, Spain
Luxembourg City, Luxembourg
Zurich, Switserland
Vaduz, Liechtenstein
Bonn, Germany (back in the East/West days, never been to Berlin)
Monaco Ville, Monaco
Prague, Czech Republic
Vienna, Austria
Athens, Greece
Washington DC, USA
Abu Dhabi UAE
Tehran Iran
Closer to home:
Maputo, Mocambique
Windhoek, Namibia
Maseru, Lesotho
Mbabane, Swaziland
Nairobi, Kenya
Dakar, Senegal
Pretoria, South Africa
Countries that I have visited in the past (some often), but for some reason always managed to avoid the capital cities:
Canada
Russia
Italy
Germany
Zambia
Zimbabwe (not sorry about this one)
Countries/continents that I have managed to avoid completely in 30 years of travel, but still on my bucket list:
Scandinavia, Far East, Australia, NZ, South America, Carribean.
I will be visiting Israel in May this year.