Somaliland, South Ossetia, Moldova, Trans-Dniester or Iran?
I'm not too sure whether these type of countries would be classed as being 'closed' but they're certainly not where most tourists would go.
Some of these countries might not have a proper state goverment or the country isn't recognised by the international community so getting passports and visas ect is difficult or might have to be done on the black market and international businesses don't business there.
There was a series by Simon Reeve a few years ago called 'places that don't exist' which is about a few of the countries above.
I know places like China, Russia and Iran can get a bit iffy with foreigners sometimes with things like visas etc