the answer below was from Deepak Kumar and Rajesh Mushkhe, and I found it's helpful for my understanding of their differences.
Stage is current status of workflow of your request. it is also helpful to see current status by seeing graphical representation of it in list view.
State is showing the current status of your record (any record like incident, problem, change,req, task etc..).
refer: What are the main difference between 'stage' and 'state'?
