Well, I'm so very glad you asked! Turns out, I was looking into this recently. Working from the BFRO database and using 2000 census info, here's yer winners:
In the per capita division, Washington state scores a completely unsurprising knockout with .00007528732 spc (sightings per capita). The only other state even close was Oregon with an spc of .00006377611. California, despite a large volume of reports, managed a measly .00001048953, which is almost certainly attributable to it's high urban population.
Which segues nicely into:
Sightings per square mile (spsm) numbers. Here we see that, again, Washington is the place to be as it crushes the competition with a spsm rating of .00552701931--fully twice the rating of the number 3 and 4 states...Maryland and New Jersey

and easily outdistancing darkhorse Ohio (spsm--.00439528239).
Other notable spc ratings:
Arkansas--.00002455297
Colorado--.00002267291
Idaho--.0000345854
Wyoming--.00004605515
Interesting spsm ratings:
Kentucky--.00105708245
Maryland--.00245524296
Tennesee--.00109170305
Again, I stress that this is BFRO data only, so take it for what it's worth. I was working on John Green's data as well, when I gave it up for a variety of reasons. I'm kinda enthusiastic about it again now, though.
Entusiastic, but sleepy

. I'll get back to ya...