I know that one way is to have a table in database with all the states and then you would read it in your form. Is there any easier way in your opinion guys ?
I feel bad asking for something like this since it is so elementary however I would suppose something as simple like this would already be implemented in Drupal.
No need to hit the database. Build yourself a function that returns an array of the states.
$form['state'] = array(
'#type' => 'select',
'#options' => mymodule_states_list(),
'#title' => t('State'),
);
function mymodule_states_list() {
return array(
'AL' => 'Alabama',
'AK' => 'Alaska',
...
'WY' => 'Wyoming',
);
}