The Centers for Disease Control and Prevention provides us with a website filled with easily accessible information about where to write in the various states for vital records.
If you follow the link below, you'll be presented with a page listing in alphabetical order the states as well as some cities and other areas. When you click on an entry you will be presented with a page giving you information about birth, death, marriage, and divorce records for that location. The information includes the cost of a copy, the address to which to write, as well as information about what time periods the archive covers.
Check it out at: http://www.cdc.gov/nchs/w2w.htm