New Mexico - City Slickers. Seriously, The Tao of Steve? I’ve tried to watch it twice and lost interest 20 minutes in both times.
Picnic.
You know Rocky won a bunch of awards, including Oscars for Best Picture & Best Director, don’t you?
Yeah, that or Lonely are the Brave. The Tao of Steve had zilch to do with how the state identifies itself.
Lone Starwould work.
Yes. I’m still glad we got Groundhog Day instead.
It hasn’t quite come out yet, but 127 Hourscould be a good one for Utah. (not that anything is wrong with SLC Punk)
A Christmas Story was filmed in Cleveland, but takes place in Indiana (Gary, I think). Major League is undoubtedly Ohio, though (yes, Cleveland, but Cleveland is an Ohio city). What the heck is Gummo?
For Montana, I would have picked a dinosaur movie that has a T. rex in it. I’ve been trying to get the rex recognized as a sort of unofficial state animal: Plenty of states have bison, or Western Meadowlarks, or wolves, or whatever, but rexes are almost exclusively Montanan. Nobody ever listens to me, though.
According to Wikipedia, Montana already has the Duck-billed dinosaur (Maiasaura peeblesorum) as the official state fossil. It would seem greedy to give two dinosaurs official status 
To me, that just quintessentially depicts the shallowness of Los Angeles and not the entire state.
I’ll offer up Earthquake.
Wikipedia has categories that list films set in each state, but for Delaware, there are only two movies listed. And I thought Connecticut was pathetic.
Alabama = Forrest Gump
Ohio did get royally screwed. I’d have gone with Major League. I never even heard of Gummo.
I bet you don’t like the Rocky statue at the Art Museum either.
You are correct, sir!
I’m sort of surprised that so many people say they’ve never heard of Gummo. It was Harmony Korine’s follow up to Kids and got major press when it came out. I guess that was 13 years ago, but it still has a fairly large cult following.
Thinking of RickJay’s choice of Oklahoma! for Oklahoma (which I agree is a natural), I wonder if it’s possible to do this for musicals? In addition to Oklahoma, there could be:
Illinois: Chicago
New York: Hello Dolly or Guys and Dolls
Iowa: The Music Man
Maryland: Kiss Me Kate or Hairspray
California: Paint Your Wagon
Kansas: The Wizard of Oz
Missouri: Meet Me in St. Louis
Hmmm… This may be harder than I thought.
Colorado could have had South Park, Things to do in Denver When You’re Dead, or Dumb and Dumber, but I’m fine with Red Dawn.
Wolverines!
Oh, that’s OK then. Maiasaurs are cool, too.
Pennsylvania: 1776
Colorado: The Unsinkable Molly Brown
Oregon: Seven Brides for Seven Brothers
If I’m not mistaken, Fight Club takes place in Wilmington, DE (a fictionalised version of it, but they did name-check some real streets.)