I had applied for my ITIN along with my husband's W2 late in March and have not received it till date. Should I apply for an extension for State taxes, if I expect a refund from them?

Most states do NOT require an extension if you filed your federal tax return prior to 18 April 2007.

There ARE exceptions to that rule (Delaware comes to mind), but if you are entitled to a refund, no penalties will be access if you file late.

Thanks a lot for your help!

I just called up the IRS and they told me that my ITIN was mailed to me on 4th May. I guess the postal service has got delayed. I took my ITIN over the phone. Can I file the state taxes?

If you have the ITIN, then, yes, file the state tax return with that ITIN.