Just about every corner of the globe was colonized outright or was dominated under various designations like "protectorate" or "mandate." This includes the entirety of the Americas and all of Africa save for little Liberia. More on Liberia later. The Middle East and Asia were divided up as well.
Some countries instead fell under "spheres of influence," in which a European power would declare that country or some part of it subject to their influence, which was a step removed from but in practice not all that distinct from conquering it outright. Iran, for example, was divided between British and Russian sphere of influence, which meant that the European powers owned exclusive rights to Iranian oil and gas in their areas, among other things.
There are only four countries that escaped European colonialism completely. Japan and Korea successfully staved off European domination, in part due to their strength and diplomacy, their isolationist policies, and perhaps their distance. Thailand was spared when the British and French Empires decided to let it remain independent as a buffer between British-controlled Burma and French Indochina. Japan, however, colonized both Korea and Thailand itself during its early-20th-century imperial period.
Then there is Liberia, which European powers spared because the United States backed the Liberian state, which was established in the early 1800s by freed American slaves who had decided to move to Africa. The Liberian project was fraught — the Americans who moved there ruled as a privileged minority, and the US and European powers shipped former slaves there rather than actually account for their enslavement — but it escaped European domination.
There is also debate as to whether Ethiopia could be considered the fifth country never subjugated by European colonialism. Italy colonized neighboring countries, and Ethiopia ceded several territories to Italian colonization as part of an 1889 treaty. The treaty was also intended to force Ethiopia to cede its foreign affairs to Italy — a hallmark of colonial subjugation — but the Amharic version of the treaty excluded this fact due to a mistranslation, leading to a war that Italy lost. Later, Italy conquered Ethiopia in 1935 and annexed it the next year, but this lasted only until 1941. While some consider this period of Italian rule to be a function of colonialism, others argue that it's better understood as part of World War Two and thus no more Italian colonization than the Nazi conquest of Poland was German colonization — although it could be certainly be argued that these fascist expansions were in fact a form of colonialism, as many eastern Europeans might.
Historians have lots of debates about the nature of colonialism, but two things are clear: colonialism caused a great deal of change, and the vast majority of that change was not good for indigenous people. For that reason, people around the world who found themselves under foreign rule, found ways to resist.
However, we need to think clearly about indigenous resistance to colonialism. It is easy to imagine people constantly fighting guerilla wars. In reality, this kind of resistance is difficult, if not impossible, for big populations. Instead, the evidence points us towards a few overall conclusions about resistance to colonial rule:
Most resistance during the period of imperialism wasn’t really aimed at something big and abstract like “colonialism.” Instead, acts of resistance were usually prompted by some new colonial policy – like taking away land, or forcing people to pay a tax, or forcing them to work for free on roads or railways.
Most people under colonialism lived their lives normally until a policy like this came about. Then they resisted the policy as much as possible. But whether they won or lost, they returned to their lives as best as they could afterward.
Most resistance is invisible to us, the modern historian. It didn’t take the form of big battles or dramatic campaigns. It happened when workers slowed down their work, or people gave fake directions to visiting colonial officials and got them lost, or clerks sabotaged or lied on forms. Things like this don’t often appear in documents or records, but they probably happened a lot.
However, that does not mean societies didn’t use military campaigns to resist colonialism; they often did, at least in the beginning of a colonial conquest. Military resistance also emerged in many cases when, after the conquest, conditions became particularly difficult or people organized around a particularly skilled or charismatic leader.
Examples:
Optional: Did you know that George Lucas based Star Wars off of resistance movements against imperialism? Listen to him explain.