We have consented to obey the state. This consent may be explicit, tacit (i.e. by failing to object appropriately we give our consent) implied (our actions imply that we consent, even if we do not explicitly say we do) or even hypothetical (under certain idealised conditions, we would explicitly consent). Therefore we must obey the state.
The state provides us with benefits (e.g. healthcare, education, security). Therefore we should express gratitude. The correct way to do this is by obeying its laws. Therefore we should obey the state.
The state represents a co-operative of people who have banded together for mutual benefit. We benefit from this (e.g. by being protected from crime). Since we receive benefits from this, it would be unfair to free-ride upon the efforts of others; therefore we should obey the state.
We have a duty to treat others as equals. By failing to obey a democratic state, we place our own judgement above that of our peers and thus fail to treat them as equals. Therefore we must obey the state.
The social consequences of obeying the state are on the whole preferable to those of disobeying the state. Therefore we must obey the state.
Samaritan Duty of Rescue
If we can rescue someone from peril at a reasonably low cost to ourselves, we have a duty to do so. The state is the only way of rescuing others from the peril that is the state of nature. Therefore, we must establish and obey a state.
Most people believe that we have a duty to obey the state. There is a positive correlation between people believing things and those things being true. Therefore, it is likely that we have a duty to obey the state.