There are seven Cyrillic alphabet entries for McCain. Russian, Ukrainian and Bulgarian have united around Джон Маккейн ("Džon Makkeyn") which is reasonably phonetic. Both versions of Belarusian drop a к and have Джон Макейн. Serbian actually has a letter for the English 'J' sound, but lacks the й letter, so there we have Џон Макејн. (There isn't a Macedonian entry, but if there were it would have that spelling too.) The last Cyrillic entry is not a Slavic language, but Mongolian: Жон МакКэйн - in Mongolian, the letter Жж is pronounced like English "Ch" as in "church", and they don't have a "J" sound. I think this is the only non-Latin spelling where there is a capital letter in the middle of McCain's surname.
Hebrew and Yiddish display another problem for the transliterator: do you try and capture the unwritten vowel in the first syllable of "McCain"? Of course, it comes from the Irish "Mac", so (as the Cyrillic transcriptions do) you can write it with a vowel (as in Yiddish,דזשאן מעקעין); or you can reflect the fact that most English speakers more or less omit the vowel (as in Hebrew, ג'ון מקיין).
There's a similar contrast between Arabic and Farsi - Arabic goes for including the first vowel in McCain - جون ماكي - but Farsi prefers instead to double the letter "ک" (as Russian, Ukrainian and Bulgarian double the "к") - جان مککی - unfortunately there doesn't seem to be a handy Urdu transliteration which would break the tie.
In Chinese, there's no question of doubling consonants, but as far as I can tell the Mandarin 約翰·麥凱恩 and Cantonese 麥凱恩 would have you pronounce the first vowel, while the Wu version, 马凱恩, rather mutes it. (Slightly puzzled that Cantonese and Wu just seem to use his surname.)
Going back to scripts I can actually read, the Georgian ჯონ მაკ-კეინი innovates by adding an extra vowel to the end - "jon mik-keini". Greek is fairly standard Τζον Μακέιν - "τζ" is normally pronounced "dz" in modern Greek, but is also the standard transliteration of the "j" sound.
The other transliterations, just for completeness, are Bengali/Bishnupriya Manipuri জন ম্যাককেইন; Marathi जॉन मॅककेन; Tamil ஜான் மெக்கெய்ன; Korean 존 매케인; Thai จอห์น แมคเคน and Japanese ジョン・マケイン.
Because Obama's name is much more easy to spell in any language, the transliteration questions are not as interesting (assuming you found them at all interesting in the first place). It is striking that while there are 66 Wikipedia articles on McCain there are 91 on Obama. This inevitably means a few new alphabets:
ባራክ ኦባማ (Amharic, which is the main language of Ethiopia)
(Dhivehi, the main language of the Maldives) ބަރާކް އޮބާމާ
बराक ओबामा (Hindi)
ಬರಾಕ್ ಒಬಾಮ (Cambodian)
ബറാക്ക് ഒബാമ (Malayalam)
There now, aren't you glad you know that!