Egypt is one of the few instances where a country name is not transliterated from the country's name for itself in its national language. Instead, it clearly borrows from English for some reason.
It should be 애굽, not 애급.
The pronunciation and spelling of 及 is '급', but '애굽' is a very special exception. It is only used in the christian bible and written as '애굽', not as '애급'. (ex: 출애굽기 exodus). Otherwise only 이집트 is used.
Sometimes '에집트' can be seen in very old print materials, but it is neglectable.
There are many more than just "a few" instances: 브라질, 멕시코, 영국, 독일, 아프가니스탄, 오스트리아, 미얀마, 덴마크, 에스토니아, 핀란드, 조지아, 그리스, 헝가리, 아이슬란드, 베네주엘라, and 미국 are all NOT derived from the native words for those countries, and that's just a sample.
Few? Apart from a couple of Western and Asian countries that seems to be the rule rather than the exception (and even in those areas you have some with English names: 스페인, 스웨덴, 베트남...) ;)
One of the biggest, or at least most noticeable differences between dialect used in North Korea and the South are the differences between names of various geographical locations. Generally speaking, almost every country, river, mountain and city has a different name in those two standards.
Some example countries (North / South): 메히꼬 and 멕시코, 슬로벤스꼬 and 슬로바키아, 도이췰란드 and 독일 (Mexico, Slovakia and Germany).
Cities (North / South: 크라꾸브 and 크라쿠프, 빠리 and 파리, 워싱톤 and 워싱턴 (Cracow, Paris, Washington).
Rivers and seas (North / South: 발뜨해 and 발트해, 드네스뜨르강 and 드네스트르강, 두나이강 and 도나우강 (Baltic Sea, Dnestr, Danube).
And it goes on and on... Names of the places in east Asia are generally the same (though there are still many differences: 도꾜 vs 도쿄, 윁남 vs 베트남. Even some Korean cities and provinces have different names! For example: 량강도 vs 양강도, 라선 vs 나선).
Both Korean states independently introduced new names for different places around the world somewhere after the unfortunate Korean split. Before that, Chinese names were mostly used (some are still in use, like 영국, used in both Koreas. Fun fact: Great Britain is '대브리텐' in the North, 대 is a Sino-Korean word that means 'great'). Guys from the South went ham on English dictionary and simply based their names of the countries on English versions. This should be already evident to you. On the other hand, Koreans in the North tried to emulate the original sounds as closely as possible.
Of course there are exeptions. Southern word 이탈리아 (Italy) is taken from Italian language, not English. Northern word 웽그리아 (Hungary) is taken from Russian, not Hungarian. Anyway, the general trend is obvious.
When it comes to names of cities, rivers etc, generally 'smaller' things than countries, the original names (based on the original languages) seem to be used in both Koreas. They still mostly differ, because they were created completly independently and by different people.
On the final note, Northerners generally denote letters K, P, S, T of foreign languages as ㄲ, ㅃ, ㅆ, ㄸ and Southerners as ㅋ, ㅍ, ㅅ, ㅌ. This also stands for other loanwords, such as 쏘파/소파 (sofa), 뜨락또르/트랙터 (tractor).