From what I understand, it isn't in any specific state. I found a couple websites about it.
This one dedicates a frighteningly large amount of space to it:
http://www.snpp.com/guides/springfield.list.html
Another one says this:
Using a state-by-state Mapquest search, you can find 53 Springfields in 34 states. Which real Springfield is the model for the Springfield on "The Simpsons?" It's hard to say. But there have been clues in various episodes that make some fans sure they know they true location.
Latest Developments
Many fans say "Behind the Laughter" definitvely noted that Springfield was in Kentucky, per the narrator. But in repeats of that episode, the narrator said Springfield was in Missouri.
Background
According to interviews and "The Simpsons" Archive FAQ, Matt Groening chose the name "Springfield" simply because it is one of the most common city names in the United States.
But Groening and the writers have enjoyed teasing fans with clues as to where the town might be located.