I don't know how I missed this before, but the Clerk of the Circuit Court of Cook County Archives is producing an online index to 500,000 naturalization petitions covering the years 1871 to 1929, presumably for the Midwest.
When I visited the Clerk of the Circuit Court office in person in the summer of 2008, I was told that the Declarations of Intention (aka, "first papers," the initial step in the process and usually the one with the most information) had been destroyed years ago and all that was left were the final petitions. The final petitions for my ancestors merely stated the country of origin and not the town or province.
So this is great news. Of the 500,000 records currently being indexed, more than 400,000 of these records are Declarations of Intention from 1906-1929. Wow!
The project started in 2006 using grant funds from the National Historical Publications and Records Commission (NHPRC), a division of the National Archives. If you've never heard of it, the NHPRC is the red-headed stepchild of bigger, better-funded siblings NEA and NEH. I know they are constantly in danger of being zero-funded for the tiny amount of money they do get for grants.
Search the Naturalization Declarations of Intention here and go here if you'd like to volunteer since the work is still in progress.