According to the argument advanced in Samuel Huntington's "The Clash of Civilizations" the "West" basically constitutes all of Western Christendom, which has generally historically been characterized by the rule of law, separation of Church and State, social pluralism, representative bodies and most importantly individualism to an extent not seen in other world civilizations. The Central European countries (including Baltic states), or the Visegrad countries, are in it.
When thinking of Africa as a continent, I associate it with "South" rather than "West", because of its sheer poverty. Although, other people do associate bits of it with "West". The Maghreb, i.e. Morocco and Algeria, is Arabic for "West" (because they lie to the extreme west of the Arabic and Islamic world), and the world "maghrbin(e)" in French means a North African (in France, almost always Algerians or Morrocan) immigrant.