Lots of people have claimed and will claim that it just doesn't matter how many schools you apply to and no interviewer will ask you such a question, but it is not true. I was asked where else I had applied at two interviews* (Wake Forest and Temple). I had applied to 25, and I told them that I had applied to a lot of places, but made sure to emphasize what I liked about their school. I received an outright rejection from Wake Forest and a "continuing candidate" position from Temple, which I have since withdrawn from.
I agree that you should apply to a lot of schools, especially if you are a marginal candidate. Realize, though, that if you have a strong application you don't have to get too carried away. Your state schools are probably a safe bet if you are in their ranges, and I suggest applying to maybe eight "realistic" schools where you are at or above their averages in most important areas and then some number of "reach" schools that you would like to attend.
*In the interest of full disclosure, of the 11 interviews I went to I was not asked about it at 9, so it is not an extremely common question.
EDIT: Actually, it was how many I applied to, not where I had applied to. Several other interviewers asked (Vanderbilt, Dartmouth, probably four or five others) where else I had applied but did not press for a number or extensive answer.