The Object → InitialState property of an Actor sets the state the actor will be in when the game begins. For many actors, including Movers and Triggers, states are partitioned: the actor has no state-switching code and will therefore remain in whicever state it starts the game in.
This technique makes each state a different "flavour" of the actor. For example, the Mover class has states such as TriggerOpenTimed and BumpOpenTimed, which determine how the mover is activated.
This page is meant to give a simple explanation of the Object >> InitialState property, and an overview of states from a mapping rather than coding perspective: states as flavours of an actor rather than dynamic behaviour.
I think that's pretty much covered it. Any ideas on padding this out are welcome —Tarquin