I attended a TechEd pre-conference session today, in which one of the presenters, Zoiner Tejada, said something that surprised me. There will be no state machine workflows in Workflow Foundation in .NET 4.0.
However, we need not despair in its absence. WF in .NET 4.0 contains a hybrid workflow, which lies somewhere between the still existing Sequential Workflow and the late State Machine; the Flowchart.
I had planned on writing a short introduction to the Flowchart, but I found a nice introductory article to the Flowchart workflow and realised that linking to that article might be a better idea since it spares me the job. :)
As a side note, Mr Tejada also hinted that Microsoft might release an out of band release which would contain the State Machine workflow for .NET 4.0, but he was very specific that as of yet, nothing is certain in that regard.