A memorization technique for learning the states in alphabetical order is to associate each state with a memorable image or phrase. Other methods include learning a poem or song that has them in alphabetical order and playing games to memorize them.
Clarkscript.com offers a poem containing some memory aids within it, such as "And so to states that start with 'M', they total up to eight ..." You can learn states that start with the same letter as a group.
It is often easier to memorize things by singing them. The lyrics to "Fifty Nifty United States" are available on BusSongs.com.
Sporcle.com's game is in the form of a timed quiz. Another game is to recite them with a friend, each person saying the next state in the sequence. When someone says the wrong state or can't think of one in the time allowed, the other player gets to name it. If neither one gets it, they have to start over. The game ends when the players finish all 50 states