For an interesting web-based interactive source for various state-level data, see StateMaster.com. A self-described "unique statistical database which allows you to research and compare a multitude of different data on US states. We have compiled information from various primary sources such as the US Census Bureau, the FBI, and the National Center for Educational Statistics."
At the risk of unduly dashing anyone's hopes, however, I want to emphasize that the site only provides quick-and-dirty cross-sectional aggregate summary data, by state, and not (regrettably) direct access to actual raw data. All of the few trial runs I just performed, however, do include helpful footnotes identifying sites to the critical primary sources of raw data (some hot-linked). Thus, even if you have no use for descriptive summary data, the site might lead quickly you to more helpful primary data sources.