Utah, Arizona, Colorado, Montana, Wyoming, Nevada, Kansas.
I also put in New Mexico every year (No points system)
I don't bother with Idaho (no points system and most good hunting can be bought over the counter), Oregon, or Washington.
It can get pretty pricy. Wyoming, Colorado, Arizona,take your cash up front. Nevada, Utah, and Arizona require a hunting license to apply. (Even for a bonus point)
I don't put in for sheep in any state, and I still need around 3k in the bank to cover the tags I never draw. (I get $2500 back one species at a time)