There are at least 61 sites in CO, ID, MT, NM, and WY that naturally contain some form of asbestos, according to a report released July 9, 2007, by the US Geological Survey. The report consolidates information on sites previously documented during the past century or so, and corrects inaccuracies in some of that information.
Problems with health threats posed by natural asbestos that is disturbed by construction and other land use changes have surfaced in the past few years, as noted in the TipSheet of May 11, 2005. 
A report covering AZ, NV, and UT is expected in late 2007 or early 2008. The report documenting CA, OR, and WA is expected in late 2008, and AK information would then follow (although there is some information now here ). HI has no known natural asbestos sites.