Teach your students a song to help them memorize the 50 states and capitals. There's an example with music at http://www.mrsjonesroom.com/songs/50capitals.html, but you also can make up your own, or have your students come up with a song. This activity helps the auditory learners.
Discuss mnemonics with your students to help them memorize the states and capitals. There are examples at http://www.mrsjonesroom.com/themes/USA.html, but mnemonics are often more meaningful if the students create them themselves. Have the students draw pictures to demonstrate each mnemonic. For example, a suggestion on www.mrsjonesroom.com to remember that Hartford is the capital of Connecticut is to picture a heart connected to the back of a Ford car. The "connected" part will remind the students of Connecticut, while the heart on the Ford will remind students of Hartford. This activity is helpful to the visual learners in your class.
Provide students with paper copies of the United States map. Instruct the students to cut out the states. Provide the students with a second paper map, but make this one blank. Have the students practice putting the states in their proper places. This activity will help the tactile learners.
Mimic the jigsaw activity in a larger form on the chalkboard once the students have had time to practice with their own boards. Have the students take turns placing the states in their proper places on the map. This activity helps the kinesthetic learners in your class.
Integrate technology into your lesson with a states and capitals game from http://portnine.com/learning/states#. Students can take turns at the computer individually or in small groups.