A physical (pure) state is represented not by the state vector but to the corresponding ray, i.e., the state doesn't change when you simply multiply the state vector by a phase factor.
More generally you can represent any state, pure or mixed, by the Statistical Operator [itex]\hat{R}[/itex] of the system. For a pure state, represented by a normalized Hilbert-space vector [itex]|\psi \rangle[/itex], it reads
[tex]\hat{R}=|\psi \rangle \langle \psi|.[/tex]
As you see, just multiplying the state with a phase factor [itex]\exp(\mathrm{i} \alpha)[/itex] with [itex]\alpha \in \mathbb{R}[/itex] doesn't change the statistical operator, because multiplication with a scalar commutes with any operator:
[tex]\exp(\mathrm{i} \alpha) \hat{R} \exp(-\mathrm{i} \alpha)=\hat{R}.[/tex]
All this, of course, doesn't hold anymore for a general unitary transformation [itex]\hat{U}[/tex] that generally doesn't commute with the Statistical Operator and thus in general maps the original to another state.<br />
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Of course, nothing changes with any observable quantity (expectation values of observables), if you apply the unitary transformation to all states and all observables since the physics content of quantum theory is invariant under unitary transformations.[/itex]