Inspired by a comment in the prior post, here's a list of Vital Records and related databases/indexes I know about for the state of Missouri. If anyone knows of any others, mention them in the comments.
Missouri State Archives: Missouri Birth and Death pre-1910 (free abstracts)
Missouri State Archives: Missouri Death Certificates 1910-1957 (free images)
St. Louis Public Library: Obituary Search, St. Louis Post Dispatch Obituary Index(1880-1926,1942-1945,1992-2006) and St. Louis Argus Obituary Index (1915-1927,1942-1945) [the search link is in the process of combining the information in the two indexes] This provides date and page number, but saves a lot of time if you have access to the microfilm.
Jackson County Department of Records: Marriage Licenses
(free images - and up-to-date. Currently through July 1, 2008)
[The St. Louis Genealogical Society has a database for St. Louis Marriages from 1804-1876 for members only. This same database is also available through Ancestry.com.]
While these aren't related to Vital Records, I also consider them worth noting:
Missouri State Archives: Naturalization Records (1816-1955)
[Note: While they include "St. Louis City" in their indexed column, I think they only have the pre-1906 naturalizations, which they got from the St. Louis Genealogical Society)
St. Louis County Library: 1906-1928 Naturalizations in St. Louis (index with both Library and LDS film numbers)