Long-distance hikers have a very strong sense of community and the help they give each other is amazing. I was recently walking through a small town with a big pack, not near any trail, and was stopped by the police, who thought I was going to illegally camp on the beach. I explained that I was in training for a long hike later this summer. In trail towns, locals, including the police, won't bother you. Other merits of trails versus roads include the overwhelming beauty and peace of being far out there, in nature, with the wind, stars, deep forest, and all the animals, in their natural habitat.
Nothing beats that.
On roads, you smell exhaust all day, you have to be wary of cars, and you never find the same peace. Plus, since trails have been walked before by other people, you can get a lot of info and advice from those who have done the route before. Every state has trails, many of which are not well known except to hikers. If you have the itch to walk across your state, or several, it's likely that there's already a trail you can use. Almost all trails have organizations that oversee them, with enthusiastic hikers, trail maintainers, and others who will be happy to give you information and advice.