National Atlas Map Layers Warehouse
Lots of good data here, including a very detailed shapefile of the states.
VDSTech Map Data
These files are low detail, and so draw very fast. The states file has no Michigan. The counties file here is pretty good. A lot of the files here are missing some countries or, in the case of Canada, some provinces. Mapping Earthquakes
Great data for the whole world here, all in one big archive. The states file in this archive is the one I prefer for completeness and speed.
US Census
Shapefiles constructed by the US Census.