Graphical Finite State Machine Editor

I'm not sure if this is excactly what you are looking for but seeing as there aren't too many answers to your question I'll throw it out there. Ragel is a finite state machine compiler which will output C/C++/Java and more. It's not visual per se (you can't design the state machine graphically, you use code) but it is able to use GraphViz to visualise the state machine.

Check out http://madebyevan.com/fsm/ its quite easy to use and it even produces LaTeX!

this may work for you: http://fsme.sourceforge.net/

it is kind of old, but better give a try;)

There is a simple UI builder for scxml charts available on google code Try here http://code.google.com/p/scxmlgui/

Seems to be quite active