It is my opinion that it is generally fallacious to compare Market Cap with GDP.

Why?

Cuz GDP is a measure of economic output (throughput, generally per annum) whereas Market Cap is a measure of worth at a moment in time. The units don't match up but since they are frequently omitted we get unlike things being compared.

What do you reckon?

Agreed - GDP is a historical record of a year's worth of activity. Therefore GDP more accurately corresponds to a company's net revenue - a net of what the country produced/consumed/spent/imported/exported/invested over a year.

Market cap takes future earnings and total value into account. There is no such calculation for countries, but a country's "Market Cap" (potential) should, in most cases, be higher than its "Net Revenues.

There is such a metric - it's called national wealth [1] and it functions much like market cap on a national level. The mechanisms are different as countries can't be "valued" because they can't be bought and as such have no market price. Regardless, economic health is taken into account because the underlying asset values ARE calculated based on market price. National wealth is largely seen as an indicator of ability to pay off debt because it provides a tax base.

As an example, the national wealth of the US in 2014 was $81.8 trillion, while our GDP in 2013 was $15 trillion. So your intuition is correct; GDP is a horrible way to value a country. Though in practice, GDP tends not to vary a lot in mature economies (i.e. inflation tends to stay roughly the same year to year), so you can do a relatively simple NPV calculation on the GDP to approximate the national wealth.

[1] http://en.wikipedia.org/wiki/National_wealth

There is actually. When a country issues bonds you can see some of the future value of the country's output reflected in the interest rate they can get their loans at.