This site claims to have polled various people in many nations on a range of issues. What it claims is that the majority of people in these countries think the time is right for a world government. This means a country becomes a state of a greater region. Think of the EU. Germany, France etc...are only countries in ritual and mind.

What about a World Government with Schwarzenegger and Blair as leaders?

We live in the age of celebrities and our "top" politicians (prime ministers / presidents etc..) are no different.

the real power is exercised by those who advise our politicians and are not elected by the people.

Remember you did not choose democracy (or what every political system you live in) you were born it to it. So there is no real choice per se.