In Workflow Foundation 3.x, we had te ability to define workflows using a state-machine paradigm out of the box. In WF4 however, first class support for state-machine workflows was not available (only flowchart and sequence were available). There was a way to mimic the state-machine behavior using a flowchart style workflow and a pick activity, but it was far from ideal. Now with the .NET Framework Platform Update 1 release (KB2495593), support for state-machine workflows is available in WF4! Check out this .NET Endpoint blogpost to see what it looks like.
Note: when you want to start playing around with the state-machine workflow, make sure you pick the ‘.Net Framework4 Platform Update 1’ platform in the New Project dialog.