A good example of a country with an autocratic government is the Russian Empire before the February Revolution in 1917. An autocracy is a government in which one person has absolute power, and the tsar of Russia had such power.
Of course, no leader rules entirely alone, so some autocracies look more like hierarchical oligarchies if observed closely. Nevertheless, a number of autocratic governments exist in the modern era. Many of these countries pretend to have democratic institutions, but they are merely allowances of the autocrat, who really holds absolute power. One such country is Bahrain, whose king appoints the leaders and heads of important government bodies.