Leaving out of Nashville, Tennessee--Rambling Man(Allman Brothers)

paulo
Streets of Philadelphia - Springsteen (the only one I ever liked of his)

Similar feel to 'The Nothing Man'..my favourite of Springsteen's.
 
* Indiana Wants me - R. Dean Taylor
* Massachusetts - The Bee Gees
* Louisiana Blues - Muddy waters
* Dakota - The Stereophonics
* Far Alaska - Jethro Tull
* Blue Moon of Kentucky - various

Tennessee Waltz - Patti Page
Midnight Train to Georgia - Gladys Knight and the Pips
Oklahoma - Rogers & Hammerstein
Mississippi Squirrel Revival - Ray Stevens
My Tennessee Mountain Home - Dolly
Yellow Rose of Texas - ?
North to Alaska - Johnny Horton
Take Me Home Country Roads - John Denver (West VA in lyrics)

And her husband's way down in Georgia
And I'm still in old Tennessee wishin'  you'd come home to me--Old Tennessee(Dan Fogelberg)

The ship was the pride of the American side
Coming back from some mill in Wisconsin--The Wreck Of The Edmund Fitzgerald(Gordon Lightfoot)

Sweet Georgia brown, californication, Louisiana by randy newman

The blue ridge mountains of Virginia. - Stan Laurel, Oliver Hardy.

Just got home from Illinois,
Lock the front door, oh, boy!--Looking Out My Back Door(CCR)

bapu
Route 66
 

Best answer because the song contains four states:  Missouri, Oklahoma, New Mexico, Arizona

I left Oklahoma, drivin' in a Pontiac
Just about to lose my mind
I was goin' to Arizona
Maybe on to California
Where the people all live so fine--Tulsa Time(Don Williams)