I have a huge map of the USA from the Dollar Tree,
with the lyrics to "Wakko's America" printed next to it.
My son & I sing the song regularly!
Only "con" is that there's no particular order to the list,
but it's easy to look at a state after memorizing the song
& have the capital (with the tune) pop into your head

I also tacked an alphabetical list on the same wall to
help with additional memorization.
It is sung to the tune of "Turkey in the Straw."
http://www.youtube.com/watch?v=eAII411eqPg
Baton Rouge Louisianna, Indianapolis Indiana,
and Columbus is the capital of O-hi-o.
There's Montgomery Alabama,
south of Helena Montana
then there's Denver Colorado,
and Boise Idaho.
Texas has Austin
then we go north,
to Massachusetts Boston
and Albany New York.
Tallahassee Florida
and Washington D.C.,
Sante Fe New Mexico and Nashville Tennessee.
Elvis used to hang out there a lot, you know.
Trenton's in New Jersey north of Jefferson Missouri,
You got Richmond in Virginia,
South Dakota has Pierre,
Harrisburg's in Pennsylvania and Augusta's up in Maine,
and here is Providence Rhode Island next to Dover Deleware.
Concord, New Hampshire, just a quick jaunte,
to Montpelier, which is up in Vermont,
Hartford's in Connecticut so pretty in the fall,
and Kansas has Topeka
Minnesota has St. Paul.
Juneau's in Alaska and there's Lincoln in Nebraska
and it's Raleigh out in North Carolina, and then,
there's Madison Wisconsin and Olympia in Washington,
Pheonix Arizona
and Lansing Michigan.
Here's Honolulu, Hawaii's a joy
Jackson Mississip-pi
and Springfield Illinois,
South Carolina with Columbia down the Way,
and Annapolis in Maryland on Chesapeake Bay,
They have wonderful clam chowder.
Cheyenne is in Wyoming and perhaps you make your home in
Salt Lake City out in Utah where the buffalo roam.
Atlanta's down in Georgia and there's Bismark North Dakota,
and you can live in Frankfurt in your own Kentucky home.
Sa-lem, in Oregon, from there we join,
Little Rock in Arkansas,
Iowa's got Des Moines
Sacramento California,
Oklahoma and it's City,
Charleston West Virginia
and Nevada Carson City.
That's all the capitals, there are!