Answer
1. Rights
Your country gives you and helps you execute basic rights. It allows you to find a job, a home, a partner and basic facilities comparatively easily than a foreign country would. The extent of quality and number of rights and their execution differs widely, but even the worst country of the world would not deny the natives a right to feed and clothe themselves. (You have a right to disrespect your country if you are in bad conditions indeed).
2. Protection
Whether you like it and accept it or not, you are always born into some kind of group, religion, community, caste, or race. Maybe you feel all human beings are equal, but many others don't, and that makes you a possible victim of clashes due to differences. Your country provides for your protection from such internal and external forces.
3. Resources
Your country spends its resources on you, right since you are born - on your housing, water, electricity, education, fuel, infrastructure and even medical needs. It maintains a record of your life, of your previous generations, of your whole family. It provides a mechanism for solving your disputes, a system for taking you from one place to another, and another for taking your things if you don't want to go all the way yourself - to name the least. A country eases your life in the sense that doing all this single-handedly would be a big pain for any individual. It plays a quiet but significant role in your progress and prosperity. (But yes, not all countries do it well, and many do not do it right).
4. External support
Your country gives you a passport which is your identity outside its borders - it gives you an official, legal identity (yea yea, we are all children of Mother Earth, but unfortunately Immigration guys won't buy that). It also maintains embassies and consulates in most of the other countries whom you can turn to for help, emergency and information while travelling abroad.
I know these are not emotionally strong reasons and have a lot of 'if's and 'but's about them, but imagine life without these, and try figuring out how would our modern lifestyle survive without the institution of country. Countries are no doubt doing a bad job, but their elements are pretty solid and life-easing...which do work out and improve our lives from time to time (historically they have). Hence I feel a country of residence deserves respect.
