West Virginia Archives and History is the website for the West Virginia state archives. They have an extensive vertical file collection. You can look for your surname and then write or call them to have research services performed. They give a chronology of the formation of the counties within the state. They have their own research guides on a few topics to help people know where to look for information. There is no charge to use the site. If you click on the tab "Archives and History" on their home page and from there scroll down to the "Genealogy Corner" and click on it, you will find a wealth of links for genealogical purposes.
When researching West Virginia, it is important to remember that it was taken from Virginia and so early records might be found in Virginia. You might also be interested to know that it is one of three southern states that did not secede during the Civil War. In fact, West Virginia received its statehood during that time because it remained loyal to the Union. It became a state in 1863.
If you want to learn more about when other states received statehood, I recommend 50 States.com They have a nice table with a list of all 50 states, when they were made a state, and in some cases what territory it was derived from.