We report RXTE/PCA observations of the black hole candidate Cygnus X-1. In 1996 February the source was in its usual "low" state. In three observations during 1996 May the source was on average brighter by a factor of 2 and showed less rapid variability and a softer energy spectrum. However, the observations indicate that Cyg X-1 did not enter a high state like the one observed in black hole transients. Flux, variability, and spectral shape suggest instead that the source was in an "intermediate" state similar to what has been observed in GS 1124-68 and GX 339-4. Perhaps also the state transitions of Cyg X-1 observed in the 1970s were not to a high state but to this intermediate state.