Connecticut: Holiday Inn
Me, Myself, and Irene takes place in Rhode Island. They make quite a big deal out of him being a Rhode Island State Trooper. That would have been a better choice for that state too, IMO.
Ahh, RI, thank you. I knew it was a state trooper from another state, I just got CT and RI confused.
But I though the plot was that he was taking Irene back to NY? So it takes place in RI an NY, but was filmed in VT…and probably parts of RI and NY too…and, of course, sound stages/studios.
Rhode Island benefits from being the home state of the Farrelly brothers, who set several of their movies there. And Maryland is of course where John Waters is from. So if Delaware residents want to have a less pathetic list of movies set in their state, they just need to have a successful filmwriter and director come from there.
Flirting With Disaster might work as well, though it also features New York, Detroit, and San Diego.
Of course we could just dispense with New Mexico altogether, as we’re talking US states here, not foreign countries.
Or Shag.
I like Pennsylvania’s choice “Groundhog Day”, especially looking at some of the other choices some states got saddled with. Seriously, Ohio gets “Gummo”? Huh?
But other PA movies have been mentioned.
Rocky - I agree with Twickster - There is nothing more embarrassing than the Rocky statue in Philadelphia. (is it still there?) And there are so many other movies based in PA that Rocky gets pushed down the list, even as an Oscar winner.
Slap Shot - great choice, and a great movie. It never fails to get a laugh from me.
some other choices:
The Deer Hunter - My choice, although much of the movie takes place in Vietnam.
All The Right Moves - Tom Cruise high school football vehicle
**Invincible **- Vince Papalli’s route to the Eagles
Gettsburg
and who can forget
The Fish that saved Pittsburgh, the worst basketball movie ever, and Sudden Death, the worst hockey movie ever made.
Mississippi: O Brother, Where Art Thou?
I’m liking The Outlaw Josey Wales for Missouri.
Zack & Miri Make a Porno for Pennsylvania.
For Kansas, I think I’m going to throw out The Wizard of Oz, and replace it with
The Ice Harvest, a great dark comedy with Billy Bob Thorton and John Cusack.
I can’t think of any movies that take place in California or New York.
That’s what’s on the map! 
It rather chaps me that Kentucky gets Kalifornia. Stick California with that cheery thing! We got Loretta Lynn! Coal Miner’s Daughter should have been a shoe-in. Or even the recent Secretariat. We have more here than knuckle-dragging rednecks, although I will admit that we do have our fair share of those too.