This app was mentioned in 6 comments, with an average of 2.50 upvotes
Countries Been will do it. But you do need to download the US states before you can check them (under the "World" drop down, select "Add/Remove" to select the countries you want to add states to).
But I'd be interested if others have alternate suggestions.
I use Countries Been. Simple but effective. It has optional regional breakdown from some countries too.
Countries Been lets you select cities, states, and countries you want to go to and have been to.