You can use Data|Filter|Advanced filter with a criteria range.

Debra Dalgleish has some notes at:
http://contextures.com/xladvfilter01.html

Or you could use another column that returns a value based on a formula:

=or(a2={"il","wi","oh","ky"})
Drag down the column and then filter by that column.

Assuming these are relatively permanent groupings, such as sales
territories, etc......you can add a new column and assign a Territory number
to all the states within each group.......ie, all five of your sample states
would be assigned Territory number 3, etc, and other groups other numbers,
then just AutoFilter on that column to bring up each group.

Vaya con Dios,
Chuck, CABGx3