I am on H1 (resident for tax purposes) and my wife has been on F1 since Jan 2009. We both moved to a different state this summer. We both will have W4s from 2 different states. For FY 09, I would like file taxes together "married filing jointly". Is it possible? Will W4s from different states complicate things?

Yes, it is possible and probably the best thing to do tax-wise.

The W-2s from different states may make your return a bit complex if you do yourself, but any competent tax professional will know how to probably split the income between the state returns while allowing you to file jointly on those state returns.