This Condition located on the Address category tab in Search Builder will allow you to select a state from a dropdown list to find those whose Primary/Preferred Address is in that state. By changing the Comparison to One Of, you can select more than one state for your search.
Use Case - Resident Codes
If your city border another state, you might want to see how many people actively attend your church but live in that adjoining state. You can run this search, then determine if you want to make the zip codes represented by those out-of-state attenders Marginal codes in your Zip Codes list.