I just read the following through a group on the Internet.  I realize that most of us don't purchase our birds, but some shop at PetsMart.  I haven't followed up on the details, but I thought it important enough to pass along:

Possibly someone here has more information than I do, but apparently Petsmart stores in at least three states (Minnesota, Washington, and Georgia) have reported having birds in their stores test positive for psittacosis. A Petland store in Minnesota also reported psittacosis. I don't know if this is any more widespread, but given that Petsmart tends to get many of its birds from a bird mill operation in Florida, it's quite likely that more stores than these received sick birds; these are just the ones I could find reporting sick birds from a quick Google check. If anyone here has purchased a bird recently from a Petsmart, I would seriously recommend going to an avian vet and testing for psittacosis.

Articles:
http://www.komotv.com/news/local/12903601.html
http://www.wtoctv.com/Global/story.asp?S=7553326
http://www.twincities.com/allheadlines/ci_7781513?nclick_check=1

EDIT: As stated in comments, also New Jersey and Texas.