Dear Mooreevan,
I would suggest ListVar if you are going to attribute conversion metrics to it.
Yes, once you tag, the states will be captured as individual line items. If you want to understand the customers those have selected 2/3/n states together, you should go for Segmentation.
If you have lesser states (The character of all the states combined together including delimiter is less than 255 Character Bytes), I would prefer an Single eVar sorted properly by Ascending or descending order to capture it.
Let's say, a customer selecting Agra and Delhi, then eVar would be 'Agra,Delhi'. Now we can understand the instances/conversion metrics with two states together and then classifying it based on delimiter also to understand individual state.
The portion is little tricky, so decide it wisely.
Thank You!
Arun