Full disclosure: I'm a native so I'm biased.  I've been to other state capitals, this one without question is one of the greatest in the country.  First, it's a replica of the nation's capital which is really cool.  Secondly it's on a hill down the street from the school and bars.  Three it houses one of the bigger a-hole governors in the country....I guess that's not cool but maybe you could protest and get arrested with your family.  It's free too.