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I would like to know what are the group cohomology classes $H^d[Z_n, Z_2]$, $H^d[U(1), Z_2]$, $H^d[SO(n), Z_2]$, $H^d[SU(n), Z_2]$, etc. Thanks! (Here the group cohomology $H^d[G, M]$ for a group $G$ is the topological cohomology of the classifying space $BG$, $H_{top}^d[BG, M]=H^d[G, M]$.)

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For the latter three, here is the integer-coefficients (apply Kunneth formula to get your mod-2 coefficients:

Group cohomology of compact Lie group with integer coeffient

As for the first: $H^i(\mathbb{Z}_n)$ is $\mathbb{Z}_n$ for $i$ even, and zero otherwise. Again, apply Kunneth formula for $\mathbb{Z}_2$-coefficients.

In general, for a finite group $G$, $H^*(G,M)$ is a $\mathbb{Z}_{|G|}$-module for $n>0$. And If $M$ has exponent $p$ (prime) then $H^*(G,M)$ is a $\mathbb{Z}_p$-vector space. So for $gcd(n,2)=1$ we must have $H^*(\mathbb{Z}_n,\mathbb{Z}_2)=0$ (in positive dimensions).

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Dear Chris: Kunneth formula relates $H^*[G_1\times G_2, M]$ to $H^*[G_1, M]$ and $H^*[G_2, M]$. I do not know how Kunneth formula relates $H^*[G, Z_2]$ to $H^*[G, Z]$. –  Xiao-Gang Wen Oct 16 '11 at 0:34
    
.... No, it relates $H^*(G_1\times G_2,M\otimes M')$ to $H^*(G_1,M)$ and $H^*(G_2,M')$. Take $G_2=0$ and $M=\mathbb{Z}_2$ and $M'=\mathbb{Z}$. –  Chris Gerig Oct 16 '11 at 1:24
    
(flip the M and M' entries around actually; but I guess the typo is evident) –  Chris Gerig Oct 17 '11 at 8:05

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