To demonstrate what merging is all about, we will take an example out of the NOAA weather data. It provides an awesome minute-by-minute update of Shapefiles to satisfy your desire to download data. We will look at a week's collection of weather warnings and union these warnings together, giving us the total warning area issued in this week.
A conceptual visualization of our desired results is shown here:
Most of the data is located around Florida, but has some polygons near Hawaii and California. To see the original data or find new data, check out these links:
If you want to see the state boundaries, you can find them at https://www.census.gov/geo/maps-data/data/cbf/cbf_state.html.
Here is what a sample of the data looks like around Florida before the union, which is visualized with QGIS:
