This feature was added to Salesforce in the Spring '13 release, and is not enabled by default. See Salesforce's Overview.
Your connector must be using the Salesforce API version 29. More on the connector's API version.
Once enabled in Salesforce, it adds the StateCode and CountryCode fields to the various objects (Lead, Contact, etc.) that have State and Country fields.
These fields will show as text fields in the Salesforce schema at this time. Because of this, they will not display a list of accepted values, unlike other picklists.
Common ErrorThere's a problem with this country, even though it may appear correct. Please select a country from the list of valid countries.: Billing Country
You can still map to the State and Country fields, but the value submitted must match one of the available picklist values (full country and state names).