I don't think there is a particular "state" you'd want to go looking for. And there are also plenty of good trainers throughout the states. What discipline are you looking to ride? Do you do western or english? Are you going to want to do WP, barrel racing, roping...or jumping, or dressage...we can't really be of much help until you give us a bit more information
Also, are you looking for a specific breed of horse?
As Karin said, there should be horses for you in MD. You might not have to go to another state to find your horse! Start looking at sights such as
www.dreamhorse.com and
www.equine.com
You can search for disciplines, breeds, and even search a specific area you'd want the horse you buy to be in. Start looking around at show barns/lesson barns near you, if you aren't already taking lessons, then you might want to do so with a few trainers, see how they work with their horses and how they work with you. You don't need to get an unbroke horse. You could also get a horse that may cost a bit more, but is already broken and trained, it'll save you money in training fees, and then you can start right away working with him/her!