Colorado
just to name a few. How wonderful it would be if all that were fully online!
The Colorado Archives Family History Page is an index to either half a million or many millions of records, depending on which of their descriptions you choose to believe. Again, it is an index (pointer system) to records that are available for purchase from the Archives. It seems to be a subset of the broader Historical Records index, but it's hard to be sure.
The online collection of Digital Records for Colorado is very slim pickens' indeed, with only a handful of images in each of the following categories:
How Colorado can manage only a single (and singularly unimpressive) image for Parks and Recreation is a real mystery.
Occassionally, though, the links will lead to a slightly more robust collection, like the Photographs from the Mining Collection or the Colorado Casualties from World War II. There's no way to know for sure what's there, other than to just browse around.
Lastly, there's a good online collection of Colorado Historical Newspapers, 1859-1923...well worth a look.
Update: Rocky Mountain Online Archive is a detailed pointer system to hundreds of archives (some online, most not) in the three-state area of Colorado, New Mexico and Wyoming.
More historical archives and research materials can be found at these excellent resources: