A simliar approach like our customer Worldhotels does it with their hotel directory. If you click on one of the continents, the text unfolds and gives you a link to all the countries and cities they have hotels in. Yet there is one thing to keep in mind: if you put TOO MANY links on one page, the single links do not count much any more.
Techniques like this must be used carefully to not destroy your search engine positions. "Less links" on a page means that each link counts more.