SetRenderState is still needed in the programmable pipeline. Effects hides some of this for you, but it's still there.
SetSamplerState may be still used, although it may also be superseded by sampler options set in your shader code.
SetTextureStageState is removed.

Some SetRenderState calls - like lighting - are however obsoleted; most are not. You need to understand the various pipeline stages, where each state applies to each stage, and whether or not each state is superseded by the programmable pipeline (and where this is optional or mandatory).

The effects framework actually provides a wrapper around the standard Set*State calls (with the exception of SetTextureStageState) - you can see this in action (and confirm it for yourself) by creating an ID3DXEffectStateManager and examining what it does in your debugger of choice (or by using PIX).

SetRenderState is still needed in the programmable pipeline. Effects hides some of this for you, but it's still there.
SetSamplerState may be still used, although it may also be superseded by sampler options set in your shader code.
SetTextureStageState is removed.

The effects framework actually provides a wrapper around the standard Set*State calls (with the exception of SetTextureStageState) - you can see this in action (and confirm it for yourself) by creating an ID3DXEffectStateManager and examining what it does in your debugger of choice (or by using PIX).

SetRenderState is still needed in the programmable pipeline.
SetSamplerState may be still used, although it may also be superseded by sampler options set in your shader code.
SetTextureStageState is removed.

The effects framework actually provides a wrapper around the standard Set*State calls (with the exception of SetTextureStageState) - you can see this in action (and confirm it for yourself) by creating an ID3DXEffectStateManager and examining what it does in your debugger of choice (or by using PIX).