If you don't own it yet, every genealogist needs to have a copy of Ann S. Lainhart's, State Census Records (Baltimore, Md.: Genealogical Publishing Co., 1992). I believe it has never gone out of print, and rightly so. It is a directory of all the state census records in the United States, where they are (originals), and what information they contain. I've had great success using the Massachusetts State Censuses of 1855 and 1865 as well as the Kansas State Censuses, which also ran on the "5" year from 1855 to 1925. These important genealogical resources may contain additional information not found on the federal censuses, and as you see from the above, you can track a family every five years, rather than every ten. Not to mention the 1885 and 1895 censuses help the hole created by the lack of an 1890 federal census. Not all states have state censuses and not all state censuses survive.
As we move in to the digital age more and more, this is a resource I eagerly await being digitized and, more importantly, indexed. With very few exceptions, these states censuses are not indexed and you always needed to slog through them town by town. This is why they were seldom used. However, the Kansas censuses have appeared on Ancestry.com and hopefully more will follow. The most important state censuses that need to be indexed, in my opinion, are the New York state censuses. I feel many brick walls will tumble if people can find their ancestors in the 1845 census (which is still head of household, but has birthplace), and the 1855, 1865, and 1875 which are all-name censuses.
As proof of the power of these sources, I direct you to Randy Seaver's Geneamusings blog. A little while ago, he found his wife's ancestress in the 1852 California census, which is online at Ancestry.com. This added enough information for him to knock down a brick wall, and get this family back from California to Australia to England. There he has gone back another two generations, and I would think that after 24 hours at the Family History Library, he could solidify that research and go back even further. It has been great fun reading the progress of his research and I have been living vicariously dreaming of such a breakthrough for myself. This post has a good summary of the posts, but there are many more. It was all made possible by a state census.