It depends what states you're changing; different things cost different amounts. Simple state like blend equations and most other SetRenderState stuff is cheap, and gets batched up till the next draw call so doesn't incur a large penalty for hitting the driver. Shaders and render targets are more expensive and will generally cause issues if you swap them excessively.
Usually though render states are not something you have to worry about overly - draw call overhead will almost always dwarf render state costs.
In terms of numbers I'd suggest aiming for no more than a couple of hundred shader swaps per frame, as few render targets as you can get away with and not worry about the rest. Typical numbers for simple state might be 5-10 state changes per draw call, but it's very variable.