I would say almost no completely third world countries, but there are large parts of many, if not most countries that are very much severely underdeveloped or riddled with systemic corruption (third world by the classical definition), This is sometimes even found in the middle of some of the worlds most highly developed nations (cough, cough, Baltimore, New Orleans, etc). To what percentage of a country's human-inhabited area these third world tracts extend is essentially based on how pervasive or deeply rooted bad government and systemic daily corruption are. But i'd argue that in any country where the percentage of underdevelopment goes over 50% you can loosely claim third world status.

Also, don't be fooled by the main business/living hubs of the glittering major cities of the world into thinking that most places are now mostly first world: Sure, you can travel from Bangkok to Delhi to Cairo and then Mexico City and in all of them spend days inside an urban area that's remarkably comparable to a normal European or U.S city's. However, these bubbles only represent a small fraction of the totality of these places, and much of that total outside of said bubbles is very, very different in how it looks and works compared to how the majority outer parts of most first world cities look or work. This without even going into any detail about difference in the countryside and smaller provincial towns that aren't specifically tourist hubs.