List of links on a page

I am using WP to create a website/blog and want to know how to put links to another part of the site on a page. For example, I would like a page where each of the states (AZ, CT, NY,etc) are listed. A user could then click on a state and be brought to a new page with in the blog (where there would be a list of kids’ camps in that state)? Anyone know how to do this?