The highlighted countries currently have a female head of government.
Congratulations to goulo who was the first to report the correct answer.
The most frequent statement among people who found the answer was, "You forgot Ireland!" Mary McAleese is the president of Ireland, which in their system of government is "largely a ceremonial office". The head of government of Ireland is Taoiseach Bertie Ahern. If the map were to include female heads of state, it would also include at least Great Britain, Canada, the Netherlands, Denmark and probably some others.
Having said that, I must make an apology. The list should perhaps not have included Finland, because Tarja Halonen is the President (head of state), not the Prime Minister (head of government). Similarly, Vaira Vīķe-Freiberga is the President, not the Prime Minister of Latvia. The Worldwide Guide to Women in Leadership is a good reference for this. The Wikipedia category of Current female heads of government incorrectly included the presidents of Finland and Latvia when I created this question, but I have since corrected that list (edits here and here). In that vein, I also corrected the List of state leaders to include Luisa Diogo, the Prime Minister of Mozambique.
I thought of this question last week when both Liberia's new president Ellen Johnson-Sirleaf was sworn in, and Chile's president-elect Michelle Bachelet was elected. (Technically, Michelle Bachelet is not the president of Chile yet, but I'm going to overlook that distinction).
Again, my apologies for not clearly and correctly making the distinction between head of state and head of government. Hope you enjoyed this puzzle! I've got several more ideas and will try to post them approximately monthly.