Yay for semantic bickering. Why don't we say "perma-lose" and "temp-lose".
Perma-lose: you lose when you switch, you don't get back when you switch back (though you can redo them again).
Temp-lose: you lose when you switch, you get back when you switch back.
Keep: self-explanatory. Carried over regardless of allegiance once you get it.
Conquest points: temp-lose.
Outpost warps: perma-lose.
Country mission progress: temp-lose.
Country rank (kinda obvious consequence of above): temp-lose.
Airship pass: keep.
Dynamis access (the rank 6 prereq): keep.
Zilart mission access (rank 6 again): keep.
Special area access (top of Heavens Tower, president's office in Metalworks): temp-lose.
Anything mog house related, like furniture: keep (although you go to a different country for it of course).
Ability to help people with 2-3, 5-1, or 5-2 BCs after you've done them yourself: temp-lose (until you do those BCs again for your new country).
Ability to help people with 6-2/7-2 or 9-2 BCs after you've done them yourself: keep.
(With the last two, it basically means the shared BCs between countries, you have to have done your *current* country's version to help someone else with the BC. If you've done it in country A, switched to country B, and haven't done it yet in country B, you can't help. Even though you've done it in country A. You have to either switch back to country A, or (re)do the BC in country B, to be able to help people with the BC again.
However, the unique-to-country BCs, once you do them you can help with them. Even if you're no longer a citizen of that country.)
Windurst missions have a few extra things ...
Ability to get a Portal Charm: temp-lose.
Portal Charm itself: keep.
Ability to get a Dark Mana Orb: keep.
With a Portal Charm, you keep it once you get it. However, you do have to be currently Windurstian to get it in the first place, to the best of my knowledge. Ex-Windurstians can't get it. Dark Mana Orb is like unique to country BCs - you have to have finished Windy 9-2 but you don't have to be *currently* Windurstian when you beat Fenrir the next time thereafter.