If most of your business is concentrated in a particular state or region, it only makes sense to mention it as people add quite often location-specific keywords in their search queries precisely to single out those businesses close to them. Typing "tennis club" or "cable services" in Yahoo! will result in a lot of noise and little information, while "tennis clubs Brooklyn NY" for instance is much more likely to hit the intended target.

Of course your business may not be dependent on location, but come to think of it regardless of where they surf from chances are that your potential customers will first search for a local answer to their needs. So if for instance you do business in Nevada and California you want your web site to reflect it. That way people will find you right on top of listings for those keywords we optimized your pages for.

There are as many regionalized keywords as places on Earth. We can break them down using various scales: city, county, general area, part of state, state, country.
Examples: san mateo, san mateo county, south bay, northern california, california, USA.

A simple combination on the City/State model (mentioning your main state and city of operations repeatedly across pages) will accomplish the following:

Increase overall visibility and number of top listings
Justify your presence in regional/local resources
Bring geographically relevant business queries
Avoid geographically irrelevant visitors (negative impact)

Whether you decide to switch part of your advertising budget to online marketing does not change consumers' habits. They first want to find a business at a specific location. Only if they can't find one they will broaden their search in a broader but more competitive, expanded geographical space.