Most cheaper remotes don't have power state tracking. It is possible to add it to UEI remotes by using a JP1 cable, but getting both a UEI remote and cable would be about $50.

However, do you really need it? Lots of equipment has discrete on and off commands. We have our remotes set up with macros that act like activities, but since all of our equipment (except the cable box) respond to discrete commands, switching from TV to BluRay, for example, doesn't turn off the TV. We then have one button which turns off all of the equipment. If you post the list of equipment, we can probably tell you if it has discrete on/off commands or not.

We use the standard Comcast remote, which can be manually programmed to send the discrete commands. The RCA RCRP05B, or most of the Atlas series remotes used by cable companies will also work.