An interesting take on state by Tony Arcieri summarized here. My favorite passage is on immuability:
In mutable state languages, performance problems can often be mitigated by mutating local (i.e. non-shared) state instead of creating new objects. To give an example from the Ruby language, combining two strings with the + operator, which creates a new string from two old ones, is significantly slower than combining two strings with the concatenating >> operator, which modifies the original string. Mutating state rather than creating new objects means there's fewer objects for the garbage collector to clean up and helps keep your program in-cache on inner loops. If you've seen Cliff Click's crash course on modern hardware, you're probably familiar with the idea that latency from cache misses is quickly becoming the dominating factor in today's software performance. Too much object creation blows the cache.
Cliff Click also covered Actors, the underpinning of Erlang's concurrency model, in his Concurrency Revolution from a Hardware Perspective talk at JavaOne. One takeaway from this is that actors should provide a safe system for mutable state, because all mutable state is confined to actors which only communicate using messages. Actors should facilitate a shared-nothing system where concurrent state mutations are impossible because no two actors share state and rely on messages for all synchronization and state exchange.
The Kilim library for Java provides a fast zero-copy messaging system for Java which still enables mutable state. In Kilim, when one actor sends a message, it loses visibility of the object it sends, and it becomes the responsibility of the recipient. If both actors need a copy of the message, the sender can make a copy of an object before it's sent to the recipient. Again, Erlang doesn't provide zero-copy (except for binaries) so Kilim's worst case is actually Erlang's best case.