Comma in tag

And here you go:

Save your tags e.g. with “City–State”, write a filter, hook it up to get_term, get_terms and get_the_terms and simply replace “–” before output with “, “.

// filter for tags with comma
//  replace '--' with ', ' in the output - allow tags with comma this way
function comma_tag_filter($tag_arr){
	$tag_arr_new = $tag_arr;
	if($tag_arr->taxonomy == 'post_tag' && strpos($tag_arr->name, '--')){
		$tag_arr_new->name = str_replace('--',', ',$tag_arr->name);
	}
	return $tag_arr_new;
}
add_filter('get_post_tag', comma_tag_filter);

function comma_tags_filter($tags_arr){
	$tags_arr_new = array();
	foreach($tags_arr as $tag_arr){
		$tags_arr_new[] = comma_tag_filter($tag_arr);
	}
	return $tags_arr_new;
}
add_filter('get_terms', comma_tags_filter);
add_filter('get_the_terms', comma_tags_filter);

More detailed description here http://blog.foobored.com/all/wordpress-tags-with-commas/

One minor update:

You have to put an check routine if currently the admin interface is shown or not:

if(!is_admin()){
   // here goes all the code
}

This is necessary in order to be actually able to save the tags correctly in the admin interface.