In which countries of the world besides the USA do African Americans live?

It's exclusive to the US 

Probably most of them.

No where as that phase is only used in USA 

I'll always choose England. Lived there 4 years, visit when I can. It's largest 10 or so cities are very diverse and progressive. Even if a Black Man isn't in one of these places, he'll still be treated with same respect as any other. It's a fairly strange experience initially walking into a business out social setting as just a person and not a member of a racial group.

It's it Utopia? No, because always a few who won't welcome you. Also, immigration and employment are tough without sponsors (unless you legitimately marry someone from England first). But all and all, I'd recommend you go as a visitor initially to see what I write about.

None, if they're "African American", they're in America, hence the name.