Many states. They're certainly illegal under Florida law, for example, since there is no way to conduct the recounts which are mandatory if the margin of victory in the election falls beneath a specified threshold.
I do have to wonder how on earth the Florida Board of Elections failed to realise this....
There is a set of states that require computer votes to record on paper and also have counties that don't do this. Florida I belive doesn't have this particular strict specification, so may get away with a "software recount" or something similarly fake.
I believe Florida law specifies a manual recount. I have read so much on American electile dysfunction at Salon and elsewhere recently I can no longer remember individual articles, but I believe that many of the machines that will be used on Nov. 2 have already been declared unsuitable for use in Florida elections.