C-states and P-states are very different
C-states are idle states and P-states are operational states. This difference, though obvious once you know, can be initially confusing.
With the exception of C0, where the CPU is active and busy doing something, a C-state is an idle state. Since an idle CPU isn't doing anything (i.e. any useful work), why not shut it down? No one is going to notice since there's no one using it. (Letting a Penryn run at full bore when idle is like driving in circles very fast; all you're doing is going nowhere quickly.)
A P-state is an operational state, meaning that the core / processor can be doing useful work in any P-state. The most obvious example is when your laptop is using a low power profile and operating on battery. The OS will lower the C0 operating frequency and voltage, i.e. enter a higher P-state. Reducing the operating frequency reduces the speed at which the processor operates, and so the energy usage per second (i.e. power). Reducing the voltage decreases the leakage current from the CPU's transistors, making the processor more energy efficient resulting in further gains. The net result is a significant reduction in the energy usage per second of the processor. On the flip side, an application will take longer to run. This may or may not be a problem from a power perspective. I'll talk about this issue in some depth in a later blog.
C-states and P-states are also orthogonal. This is a fancy mathematical term meaning that each can vary independently of the other. This doesn't mean that in the higher C-states, the voltage doesn't change. It only means that when you resume C0, you go back to the operating frequency and voltage defined by that P-state.