Missouri Probate Records
These are retained at the county level although many have been microfilmed by the Genealogical Society of Utah, in cooperation with the Missouri State Archives and the Missouri Supreme Court. Fortunately for the genealogist, a special emphasis is placed on microfilming the estate files. One can expect to find an index to probate court papers, court records, executor's bonds, letters of testamentary, inventories, sale bills, guardian and curators' records, and court appointments. Usually the probate minute books, probate court records, and case files are also available. The researcher can check for the application letters for administration, executors and guardians, administrators and guardian's bonds, appraisement of estate, names and oaths of witnesses, sale bills, settlement records, orders of publication, term docket books, wills, and records of wills. A searchable index for St. Louis City probate files from 1802 to 1900 is available online at Missouri State Archives at www.sos.mo.gov/archives/stlprobate. In addition, St. Louis probate case files up to 1865 have been digitized and are available as .pdf files on this same website.
UPDATE 3 August 2012
The probate link above is dead, but you can search Missouri Court Records on line here www.sos.mo.gov/archives/resources/judicial.asp