Excellent site that collects and archives articles and reports about different issues of state politics. Has a searchable archive and allows you to search by state, keyword, issue, etc. The only downside is that the site links to several articles from sources which require (free registration).
National Governors Association
Extensive list and full-text of policies and reports on federal-state relations, economic development, human and natural resources.
City and County Data Book (University of Virginia)
The 1988, 1994, and 2000 electronic editions are available here. These data books contain a substantial amount of information on a variety of state-level socio-economic and demographic indicators. Print copies available in Reference.
Gateway to State and Local Information (from the Rockefeller Institute of Government)
News, data, and analysis on the finances and unemployment of state and local governments. A number of downloadable excel files are available.