Federal
http://www.irs.gov/formspubs
State, from Federation of Tax Administrators
http://www.taxadmin.org/fta/link/forms.html
New Mexico
http://www.tax.newmexico.gov/Forms-and-Publications/Forms/Individual-Income/Pages/Home.aspx
Colorado
http://www.revenue.state.co.us/TPS_Dir/wrap.asp?incl=forms_download
Utah
http://incometax.utah.gov
Arizona
http://www.revenue.state.az.us