And, according to traditional punctuation, a comma should come between the state and whatever follows. Personally, I think it looks odd. Maybe that was the rule if the state was written out.
As with many aspects of punctuation, the comma following the state is a matter of style, but the major style guides that I try to follow still require it, so I always include it. Think of the state as being parenthetical information about the city name, I guess.
Okay, guys. My erroneous assumption was that this was an address on an envelope. Since the post office "recently" added zip codes and standardized the "two letter" state abbreviations, I haven't seen the comma after the state.
"I recently went to Phoenix, Arizona, to visit my cousin" of course calls for a comma after the state.