The BLS website is very user unfriendly.
First, click on
National Employment, go down to
News Releases and click on the
Employment Situation Summary. This is the url for the most recent one:
http://www.bls.gov/news.release/pdf/empsit.pdfThe establishment data starting in Table B would be your best bet. It gives you jobs by sector (B-1), Average Weekly Hours by sector (B-2), and earnings by sector (B-3). This is released each month (first Friday) at the same time they announce the unemployment rate. When the media talks about "Two million jobs lost since 2001" or "300,000 jobs created in the past quarter", they are talking about the establishment data. The establishment data comes from surveying companies throughout the country.
If you want something more interactive, click on
National Employment on the main screen and go down to
Create Customized Tables (multiple screens). From there, you can get information about any sector you wish, going back as for as they have data. It's a really neat tool if you are interesting in that sort of thing.
To the best of my knowledge, the BLS doesn't break down establishment data by state. They do however use survey and unemployment insurance data to calculate unemployment rates by state and regions. They don't break state data apart by sector in as much detail as the establishment survey does, but they do break it down in broad categories (Construction, Manufacturing, Government...). Click on
State and Local Employment on the main screen and then click on
Create Customized Tables (multiple screens). Play around with that to get state and regional data. Here is the listing of tables from their most recent press release:
http://www.bls.gov/news.release/laus.toc.htm