Google has this very handy graphic tool to display the unemployment rate data. Without that, you will have to go to the Bureau of Labor Statistics website to dig through the pages.

http://www.google.com/publicdata/embed?ds=usunemployment&ctype=l&strail=false&nselm=h&met_y=unemployment_rate&scale_y=lin&ind_y=false&rdim=state&tdim=true&tstart=631152000000&tunit=M&tlen=252&hl=en&dl=en

You can also compare the state unemployment rate VS the national unemployment rate by following the link below.

http://www.google.com/publicdata?ds=usunemployment&met=unemployment_rate&tdim=true&dl=en&hl=en&q=unemployment+rate

There are many more datasets. I was surprised that US has only 300 million people currently, VS 1.3 billion from China! Find out more from the link below to see all the available datasets!

http://www.google.com/publicdata/directory