I'm taking a course in Quantum Mechanics and there is something I'm not being able to fully understand. On more elementary courses on Quantum Mechanics I've been told that the idea of Quantum Mechanics is that all information available about a particle is contained in a function $\psi : U\subset \mathbb{R}^3\to \mathbb{C}$ whose evolution is governed by Schrödinger's equation.
The way to understand $\psi$ is that $|\psi|^2$ is the probability density of the presence of the particle in a neighborhood of a point. In that case, we have hermitian operators which are linear operators on the space of those functions which are associated with dynamical properties of interest. Examples are the Hamiltonian $\hat{H}$ and the momentum operator $\hat{p}$.
In this picture of wave functions it is even possible to "deduce" what $\hat{p}$ should be from the requirement that it is the generator of spatial translations. Anyway despite the usual strangeness of associating a wave to a particle, things are quite clear here.
On the other hand, on the course I'm taking now after reviewing these ideas the teacher moved to a different approach. He started dealing with kets. So instead of working with $\psi$ he started working with $\left|\psi\right\rangle$. He said a ket is not the function $\psi$, but one abstract object associated with $\psi$ which he called the state vector.
When he introduced the space of kets, i.e. the state space $\mathcal{E}$, I've asked about it here and two things were said. Firstly, @ACuriousMind said that
The idea to stress here is that quantum mechanics does not necessarily take place as "wave mechanics" on $L^2(\mathbb{R}^3)$.
Secondly, @AlfredCentauri said that
In a certain sense, $\psi(x)$ is to $\left|\psi\right\rangle$ as $v^i$ is to $v$.
So that it seems the values of a wave function are just components of the state vector in the so called position basis.
Now, what I'm not getting yet is this idea of abstract states and state vectors. What really is a state and what is a state vector in Quantum Mechanics? Quantum Mechanics is not all about assigning wave behavior to matter with the property that the square of the absolute value of the wave function is a probability density? What are those state vectors in truth and how does it all relates to the usual introductory treatments of Quantum Mechanics?