Use a comma to separate each part of an address that has two or more parts. This follows the same pattern as geographical names.

Commas are not needed if prepositions join the address parts.

Incorrect: Write me in care of Post Office Box 203 Shelton Connecticut 06484.
(Commas needed)
Correct: Write me in care of Post Office Box 203, Shelton, Connecticut 06484.
(Comma after state or province and before postal code is optional.)

If the address is on an envelope or is otherwise written out line by line, no comma is needed when a new line begins.

Incorrect:
P.O. Box 203,
Shelton, Conn. 06484

(Comma after first line not necessary)
Correct:

P.O. Box 203
Shelton, Conn. 06484