From an Ancestry.com Blog Post:
Looking for relatives in Alaska, Arkansas, Idaho, Massachusetts, Minnesota, Missouri, North Dakota, New Mexico, Oklahoma, Rhode Island, South Dakota and Utah? We’ve just released fully-searchable indexes for all 12 states. And 26 other states are ready to search. And remember, if the state you’re waiting for isn’t indexed yet, you can still look through 1940 Census images to locate your family—we will even provide you tools that will help.
Also complete: AL, AZ, CA, CO, DC, DE, GA, HI, IN, KS, KY, ME, MI, MT, NE, NH, NV, NY, OH, OR, PA, TN, VA, VT, WA and WI
Direct to 1940 Census (via Ancestry.com)