Edit:
There is the following site that I have just found:
http://www.protectedplanet.net/
They have downloads of protected areas for the world.
The help page tells you how you can download the data, which is available in shp, KMZ or CSV format:
http://www.protectedplanet.net/help
If you do a search for Australia, you can then filter your results for world heritage sites, and download this data as a shp.
I dont know about the rest of the world, but for the UK you can download a large amount of designation data from Magic:
Magic.
This will link you to the English Heritage page for the English boundaries:
English Heritage.
You will need to register to download the information.
For Scotland it is available from Scottish Natural Heritage:
Scottish Natural Heritage
I could not find any information on the Countryside Council for Wales website for Wales.
CCW
I would suggest checking the other other questions that have the POI tag for a more comprehensive list, but a couple that come to mind right away are:
As always, check each site's terms of use to make sure you can use it for your purposes.
Best Answer
You should take a look at POI Factory. They have a Golf Courses-USA dataset that apparently originated from www.golflinks.com.
You should of course read into their Terms of Use policy to make sure your use case is covered.