For addresses, phone numbers, etc., check out Carroll's State Directory (Carroll Publishing), the State Yellow Book (Leadership Directories), or a similar directory. For Internet links, check out State and Local Governments on the Net. USA.gov post a page of State and Local Agencies by Topic.
Administrative Decisions: Lexis has a series of databases combining all the available agency decisions for each state (e.g. ADMIN;NYAGEN for New York or ADMIN;TXAGEN for Texas. There is a parallel series of databases that let you search both agency decisions and state cases (e.g., STATES;NYCASE for New York, STATES;TXCASE for Texas). Westlaw also has a series of databases combining all the available agency decisions for each state (e.g., NY-ADMIN for New York, TX-ADMIN for Texas).
News:Lexis offers a combined database of state agency news (LEGIS;USSTNW).
See also the entries for individual states.