gistfile1.rb

require 'nokogiri'
require 'open-uri'

url = 'http://pt.wikipedia.org/wiki/Anexo:Lista_de_munic%C3%ADpios_do_Brasil'
doc = Nokogiri::HTML open url

xml_file = "cities.xml"

File.delete xml_file if File.exists? xml_file

file = File.new xml_file, "w"

doc.xpath('//td/ul/li').each do |link|
   file.write link.content + "\n"
end