This is one they used at Kay's school. Not quite as zany as Wakko's, but fun nonetheless.
(Allow me to commit former-teacher blasphemy by stating for the record that while I think knowing all 50 states is essential knowledge for an American, knowing the state capitols, except for your own state, is pretty much busywork.)
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Forgive my pedantry, but…
http://grammarist.com/usage/capitol-capital/
Dagnabbit. I knew I was going to get in trouble. with that. Buildings are capitols, in the cities that are capitals. Pedantry forgiven and appreciated.
Though I'll add that being able to recognize the capitols of the 50 states would be even more useless busywork.