What does "upstate" mean in the US?

I hear it in movies so the time. We're going upstate. I went upstate. Etc

I never hear downstate, or similar. Does it just mean going north?

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A lot of people are saying it's primarily a NY thing, so I'd just chime in to say we use it in PA as well, at least in the Philly area, to refer to the northern parts of the state.
Not much more to it than youre going far enough north to be out of your city's metro area, but staying in the same state. In PA I'd say upstate probably starts around the Poconos. I think new Yorkers kind of tend to use it to refer to the rest of the state, we wouldn't tend to do that here, Central and Western PA are different things than Upstate PA, although there is definitely some overlap and there's not exactly clearly defined borders.
I don't know how many other states use the same terminology, but I wouldn't be surprised if it's pretty common in other largish states with larger population densities in the southern part of the state and lower densities in the north (I don't know off the top of my head which other states that would apply to, maybe it's only PA and NY)
- I have never called any part of PA upstate. (Not that it's wrong that you do) Everyone I know calls the northern half of the eastern third of the state "the Northeast" or NEPA. Western PA is the entire western third of the state, and Central PA is for some reason only the southern half of the middle third of the state. I guess maybe the northern half of the middle third could be upstate, but I think I just don't have a word for it.
  
  This is absolutely reflective of my experience in PA as well. Everything you said and exactly as you said it.
  Nothing is "upstate".
  NEPA is anything north of 80 and (roughly) east of where the Susquehanna splits near Selinsgrove.
  Western PA is the whole state, north to south, from the Ohio border to approximately 219.
  Central PA is south of 80, between 219 in the west, and east up to and including Lancaster county.
  The part that's left over is usually just called "north central PA", but there's not much of anything up there, so it's usually referred to by specific county or town in that region, and most frequently when you do hear that, it's someone describing where their hunting camp is.
  
  PA really should probably be at least three separate states.
  
  As long as I don't have to be associated with Pittsburgers I'll be happy.
  
  Pittsburgh and Philly with Kentucky in the middle!
- I lived in the Harrisburg area for 30 years and I've never heard it used to refer to any part of PA.
- Maine uses “Down East”, which is actually north east of the Portland area. Actually I’m not sure anyone really totally understands exactly what or where down east is there.
  Most states I’ve lived in use “up north” when taking about the northern half of rural part of a state.
- Hmm I never heard anyone say upstate PA but I never had much business up there lol

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