That's the key, it depends on the state and the language in the law. For example in Missouri, the language on signaling on bikes is as follows (it's in the section on mopeds and bicycles):

"Always check traffic and signal before changing lanes or changing your position within a lane." - p61 Driver's Guide

"4. Make sure you signal before you slow down, change lanes, or turn. Before merging, changing lanes, or turning, scan behind and in front to ensure that it is safe to make this maneuver. Do so in plenty of time and in cooperation with other drivers who will be affected by your move. If it is not safe, continue on a straight course and scan repeatedly and only move once it is safe. In conditions of heavy traffic, less proficient bicyclists may find it easier to wait near the curb for a safe gap to appear." - p62 Driver's Guide

Which indicates, IMO, that there is no language indicating that signaling is an optional thing for the bicyclist (in MO) regardless of circumstances. Now I question if anyone knows the meaning of the hand signals given what I've seen riding (and was about to post), so I wonder if it would do much good. But the attitude I take is that it is better to do it and not be liable in the eyes of the law than not do it and run into a problem.