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The canonical example of a state that does this is New Jersey. I don't live there, but I've driven through it on occasion, and it's always jarring to suddenly not be allowed to do so something so basic (and that you've done thousands of times) as inserting a gas nozzle into a fueling port and depress the trigger.

Oregon. But we just loosened the rules a teny tiny bit, so if it's after hours, in a rural area you can do it yourself:

http://www.statesmanjournal.com/story/news/2015/12/29/driver...

Is Oregon. I still remember my shock at the pump station after being told that I'm not qualified to handle explosive substances (gas)...

NJ does this--though the prices at the pump are still lower than in a number of nearby states. I think there have been occasional attempts to change the law so that people can pump their own gas, but it has always failed.