Building a game is a probably the best way to learn and apply state machines since a lot of it is all about how to manage state effectively since there are so many pieces of state and interactions between them.

Also, since Bob is too humble to say it - http://gameprogrammingpatterns.com is an amazing architecture resource for programmers in all disciplines, not just gamedevs.

He's got another book called http://craftinginterpreters.com/ that I've been eager to check out.