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A Google search turned this up: http://www.fairvote.org/?page=1801

Open primaries/ caucuses (presidential):

Alabama, Arkansas, Georgia, Idaho, Indiana, Michigan, Minnesota, Mississippi, Missouri, North Dakota, South Carolina, Tennessee, Texas, Vermont, Washington, Wisconsin

Others of note:

Alaska - Closed caucuses for both parties, but voters may change party affiliation at polls or caucus.

Illinois - Must vote in primary of same party as last primary the voter participated in. Loosely enforced. Voters may change party affiliation at polls or caucus.

Iowa - Closed caucuses, but voters may change registration at polls.

Massachusetts - Registered Democrats and Republicans can only vote for their own party in the primary but independent voters may decide which party they would like to vote for.

New Hampshire - Registered Democrats and Republicans can only vote for their own party in the primary but independent voters may decide which party they would like to vote for. Unregistered voters can register on election day.

New Jersey - Registered Democrats and Republicans can only vote for their own party in the primary. Any NJ voter who has never on a previous occasion voted in a NJ primary election may declare a party affiliation at the poll. Independents may also decide which party to vote for.

North Carolina - If registered with a party, you must vote in that party's primary. If unaffiliated, you may choose a party on the day of the primary election.

Ohio - Must vote in primary of same party as the voter participated in last primary election. Loosely enforced.

Rhode Island - If you are registered as "unaffiliated" you may vote in the primary of any party you choose. Once you vote in a primary, however, you are considered a member of that party until and unless you "disaffiliate".

Virginia - Parties may choose to nominate by convention rather than by primary election.