Speeches to Congress were delivered by Presidents Washington and Adams each year, but the practice was stopped by President Jefferson, who regarded them as too monarchical. Until 1913 a written report was sent to Congress. President Wilson re-established the practice of an annual speech, but the term "State of the Union" only gained popular currency after 1935.
A video and text of this year's speech is available at http://www.whitehouse.gov/stateoftheunion/2008/index.html
and details of the various proposals can be found at http://www.whitehouse.gov/stateoftheunion/2008/initiatives/sotu2008.pdf
The Democrat response to the State of the Union, delivered by Kansas Governor Kathleen Sebeliusby can be found at http://www.msnbc.msn.com/id/22888366/