The Federal minimum wage has priority. State minimum may be above, but not below, the Federal minimum. Likewise with local area minimum wages.
For example, the minimum wage in San Francisco ($9.92) is higher than the minimum wage of California ($8), which is higher than the minimum wage of the USA ($7.25).
http://en.wikipedia.org/wiki/List_of_U.S._minimum_wages

edit:

Oh my!
Seems I have a false impression of how this stuff works!
http://www.dol.gov/whd/minwage/america.htm
Some states do indeed have minimum wages that are lower than the Federal minimum.
edit again:
...and yet: "Note: Where Federal and state law have different minimum wage rates, the higher standard applies."
So, the states with lower than Federal minimum wages are probably just behind in their bookkeeping.