Lightroom's hierarchical keywords make it very easy to tag your photos with lots of meaningful data. For example, when I tag a photo with "San Francisco", it automatically inherits "San Francisco County", "California", and "USA". It is too much work to enter all that data manually, so I used the geographic data from the USGS geonames website and wrote some scripts to transform it into a format that Lightroom can import.
To use the data, just download the location you want and unzip the file. This will give you a text file if you downloaded a state, or a folder with text files if you downloaded counties. Then use the Import Keywords option in the Metadata menu from within Lightroom to import the file or files you want. I have used several of these files with Lightroom 2 and 3 with no problems, but use the files at your own risk. You have all your photos and catalogs backed up, right? Good.
Alabama: 67 counties, 578 places.
Alaska: 29 counties, 1876 places.
American Samoa: 5 counties, 109 places.
Arizona: 15 counties, 622 places.
Arkansas: 75 counties, 781 places.
California: 58 counties, 1765 places.
Colorado: 64 counties, 757 places.
Connecticut: 8 counties, 111 places.
Delaware: 3 counties, 69 places.
District of Columbia: 1 county, 2 places.
Federated States of Micronesia: 4 counties, 10 places.
Florida: 67 counties, 952 places.
Georgia: 159 counties, 847 places.
Guam: 1 county, 33 places.
Hawaii: 5 counties, 270 places.
Idaho: 44 counties, 554 places.
Illinois: 102 counties, 1183 places.
Indiana: 92 counties, 590 places.
Iowa: 99 counties, 921 places.
Kansas: 105 counties, 955 places.
Kentucky: 120 counties, 803 places.
Louisiana: 64 counties, 818 places.
Maine: 16 counties, 352 places.
Marshall Islands: 2 counties, 2 places.
Maryland: 24 counties, 496 places.
Massachusetts: 14 counties, 339 places.
Michigan: 83 counties, 894 places.
Minnesota: 87 counties, 1108 places.
Mississippi: 82 counties, 650 places.
Missouri: 115 counties, 918 places.
Montana: 56 counties, 787 places.
Nebraska: 93 counties, 679 places.
Nevada: 17 counties, 415 places.
New Hampshire: 10 counties, 155 places.
New Jersey: 21 counties, 597 places.
New Mexico: 32 counties, 629 places.
New York: 62 counties, 1004 places.
North Carolina: 100 counties, 693 places.
North Dakota: 53 counties, 518 places.
Northern Mariana Islands: 4 counties, 26 places.
Ohio: 88 counties, 1035 places.
Oklahoma: 77 counties, 767 places.
Oregon: 36 counties, 701 places.
Palau: 2 counties, 2 places.
Pennsylvania: 67 counties, 1185 places.
Puerto Rico: 77 counties, 246 places.
Rhode Island: 5 counties, 38 places.
South Carolina: 46 counties, 415 places.
South Dakota: 66 counties, 559 places.
Tennessee: 95 counties, 547 places.
Texas: 254 counties, 2249 places.
U.S. Minor Outlying Islands: 9 counties, 19 places.
Utah: 29 counties, 557 places.
Vermont: 14 counties, 135 places.
Virgin Islands: 3 counties, 7 places.
Virginia: 134 counties, 625 places.
Washington: 39 counties, 1035 places.
West Virginia: 55 counties, 414 places.