States & Cities

Sure would be nice for SEO purposes to be able to have the ability to have individual pages for states and cities in the states. Currently I am using states as categories which works ok but I am missing huge opportunities as there is no way for me to have pages for the individual cities in the states.

I can do
http://www.directorytheme.net/ohio

but not
http://www.directorytheme/ohio/akron

I could certainly have each of the cites as a category but that would not be efficient and the list of 1500 cities would need to be loaded in the web browser on every page.