Here's the sheet I send home with students when we return from winter break. On the other side is a note to parents explaining my system.
During the time we are learning about each region I have this bulletin board set up in the hallway. (The Penelope part of it comes from SuperTeacher Worksheets)
Students have the entire time we are studying about the region to figure out which state each set of clues is for and hand it in. At the end of each region we use The Mailbox's Mystery State series and spend a day or two (of Social Studies time, not the WHOLE day) researching to figure out which state is the mystery state. We just finished the northeast region and ALL 5 groups guessed the state correctly. They weren't very happy with me when I told them they would have to wait until we got to the end of the southeast region to do the mystery state again!