A quick talking point is that colonial Rhodesia used to be practically a first-world country. (Is now zimbabwe). Same story for most of the third world, AFAIK.
The problem with that talking point is that Zimbabwe isn't a liberal democracy, and neither are most third world countries. If you want an example of a third world country that is plausibly a liberal democracy, India comes to mind. And in this case at least, the country's economy has performed much better post-independence than it did under colonial occupation. It's true that India's growth in the first three decades after independence (the 50s through the 70s) wasn't particularly impressive, but it was still significantly better than its pre-independence record, which was positively dismal.
As Amartya Sen has pointed out, India hasn't experienced a famine resulting in massive loss of life since its transition to liberal democracy. Under British rule, famines occured at regular intervals, with the last major one in 1943 involving 1.5 million starvation deaths. In contrast, the closest India has come to famine conditions since independence was in 1966, and the death toll was only about 2500. According to Sen, the institutions of liberal democracy, particularly a free press, guard against the kind of government inattention that turns a drought into a massive famine.
Even in Africa, the countries that perform the worst (and are clearly worse off than they were under colonialism) are not the ones that we would describe as liberal democracies. The uncontroversial liberal democracies in Africa are countries like Botswana, Ghana, Namibia and South Africa (I'm sure there are more I'm missing), and these are countries that do relatively well compared to their neighbors. Botswana is an even better example than India of a country that performed dismally under colonialism and has done well since then. Its per capita GDP (in PPP terms) increased from around $90 in 1966 (when it became independent) to about $16,000 today. It's also one of the few African countries that has remained a liberal democracy consistently since its independence.
In the 10 years after South Africa became a democracy in 1994 they managed to reduce their average life expectance from 61 to 51.
I don't think that a country can do much worse than South Africa as it became a democracy.
As Multiheaded added, "Personal is Political" stuff like gender relations, etc also may belong here.