The greatest risk is in the northeastern states, and just west of the Great Lakes, but Lyme has been found in all 50 states at one time or another in the last ten years- some 30,000 confirmed cases in 2009 and another 9000 or so probable.
Other cases undoubtedly mis-diagnosed or not reported.

Pennsylvania is among the worst, with 1562 cases confirmed in 1995 and 4950 in 2009.
U. S. Center Disease Control figures, www.cdc.gov

The number of cases has doubled over the past ten years, probably due both to increase and better diagnosis.

I think the tick and bacterium have now been identified across southern Canada, but PHACanada lists only Nova Scotia, Ontario, Manitoba and British Columbia. The Lyme-infected ticks have been found on rabbits in Alberta.
In 1986, a patient in Calgary developed a "multisystem disease in 1986 following a tick bite in his back yard" so no area is 100 per cent safe.