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Yeah, they never say outright, but supposedly there have been enough hints to piece it together.

well, they ARE from Springfield. so where's Springfield? I believe it's in one of the original 13 colonies. anyone?

Well, there are lots of Springfields as I posted earlier.  In fact, there are 2 within an hour's drive from Phila, PA.

Here's a page with a bunch of Simpsons geeks trying to figure it out.

Yeah, I googled.

In the episode where Homer is helping Apu with his citizenship requirements he almost points to the state of Illinois on a map but then someone (Bart?) blocks the view at the last minute.

Being a lifelong Illinoisian myself, I'd rather it wasn't my state. 

The other half of the reason why I didn't want to google was because I'd have to read things written by Simpsons fans. I'll wait a while to see if curiosity forces me to click that link.

I'll just copy the part that might interest you

I noticed that the last line of Homer's driver's license
  reads:
  Springfield, NT 49007.  Now, it is very well know that
  there is no state in the U.S. with the postal abbreviation
  NT, however, NT is the postal abbreviation for Northern
  Territory  -- the least populous region of Australia
  (cap.: Darwin).  Unfortunately, I know for a fact that
  that there is no town with a population of over 50 people
  anywhere in the NT with the name ``Springfield.''  There
  is however, an interesting hypothesis which would explain
  ALL of the continuity problems in the show.

  The very real town of Tennant Creek, NT was said to have
  been founded when a road train (a tractor trailer-
  trailer-trailer another Outback phenomenon) laden with
  beer broke down on the road between Darwin and Alice
  Springs. The drivers made themselves comfortable to enjoy
  their cargo, found some ore deposits, and thereby founded
  the town.

  Now, Homer J. Simpson of Springfield, NT (a town of 0-20
  or so people) was just such a driver, and the beer
  combined with the dry desert heat made him see all sorts
  of wonderful messages and dreams, the contents of which he
  wrote on the backs of over 200 empty beer cases.  Matt
  Groening, on an Australian holiday, found the truck, the
  corpse, and the messages.  And this was the origin of the
  show.

Sherrrrrr.

I didn't bother reading the rest of that page. I used to think it was Kentucky cuz there's a Shelbyville right down the road from Springfield. Nowadays I'm sure there is no real Springfield. There are plenty of clues but they all contradict each other.

Thanks for the copy-paste, potty. I like that story.
Kentucky sounds like a good enough one to me. I was thinking Illinois earlier, but only because I watched the blues brothers again recently.

The episode I watched today said that Bush was moving in in springfield because it was in one of the nine states he listed as his home state, or somesuch.

Illinois.  Not New York, not the South, not California.  I always thought it was Illinois.

The arch does ring a bell. Maybe that's why I was thinking MO. Remember the epsode where homer was the mascot and got sent up to the big leagues? He went to a major metropolitan area with a baseball team that had red uniforms if I remember right. St. Louis maybe?

Don't let their inconsistencies trip you up. Some times they have a dock and they are right next to an ocean or something else like that. They are in northern Kentucky. They said it in one of the episodes. I'm just trying to remember which one.

Massachusetts

Yeah, it makes sense that Springfield would have been chosen for its ambiguity and was done for the sole purpose of making these conversations funny to them...

Still, it's fun to try and figure it out. It sure beats work.

Where do people get the idea that it's out east?

The Kentucky idea sounds good, but if that's not it, my next best guesses are IL, MO, or OH.