Check the state licensing board in your state, most have websites.
Keep in mind that very few makeup artists have a license of any kind, It's just not something the State can enforce with the man power it has. The problem comes should you ever be sued by a client. You were practicing without the State license and thats going to be a HUGE mark against you, you will face financial ruin should that ever happen. You can not obtain liability insurance as a makeup artist without a cosmetology license. Makeup schools give you a certificate, and while thier educations may be good a certificate will not count towards a license. To become licensed most states require a certain number of clock hours in an estetician, cosmetician, or cosmetology programme at a recognised beauty school.
For makeup only, most states require an esthetician license (or as one person said, cosmetician). One state I am aware of has a makeup license (Maryland). To do makeup AND hair, a cosmetology license is required.
Now, it's the exemptions that will be the deciding factor. Of those states that require a license to do makeup and/or hair, many of them require it for salon, bridal and other civilian work, but the entertainment industry is exempt. To work in a salon or at a counter as a product rep (meaning you don't charge for services rendered, just product), is also exempt.
NY and perhaps other states require a license no matter what you are doing. There are no exemptions. I honestly don't know if or how the counters get away with no licensing.
There are schools that are approved to teach the curriculum that is geared towards helping you pass the state board exam. Call your state board to get a list of approved schools.
A certificate of any kind from any school does not count as a license. If you attend a makeup school, you may be able to get hours applied towards a license, but it won't be much. Negotiate with the school to see if you can reduce your time in school with them and your tuition. You may only get a day or two knocked off, but school is all about hours. Clock your hours, and you "graduate". You still have to take state board exams (practical and written).
Some states offer reciprocity with other states, so it may be useful for you to get your license if you think you might move to a different state later.
Check here for more information on what is required in your area, and what the exemptions and reciprocity options are: http://www.beautytech.com/st_boards.htm