Switzerland remained neutral because it was largely inaccessible - very difficult to attack and occupy. Netherlands and Belgium remained neutral for the opposite reason - they were too accessible from either side.
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During World War I, Switzerland, Spain, and the Scandinavian nations remained totally neutral.
Spain, Sweden, Norway, Denmark, Netherlands, Albania, Switzerland, and Luxembourg
from answers.com: Neutral Countries in World War 2: Some of the countries that were neutral in WW2 were Sweden, Switzerland and Paraguay. Less famously: Lichtenstein, Monaco, Andorra, Turkey, Nepal, Afghanistan, Yemen, Bhutan, Spain, Portugal. More input: No European country remained neutral. Portugal, Spain, Sweden and Switzerland all worked to some extend with the Axis. There was one other European country that remained neutral in WWII: the Republic of Ireland.
In Europe, the nations that managed to remain neutral were Sweden, Spain and Switzerland. In Africa, all countries were linked to either Italy, France or Britain so none of them remained neutral. The Latin American countries remained largely neutral. Asian countries were practically all dragged into the war, either because they were invaded by Japan or because they were colonies of Japan or one of the Allied nations.
They did join in. In World War 2 only Sweden, Switzerland, Spain, Portugal and Ireland remained neutral.