If you are looking for actual NWS COOP observations with no estimating and very little quality control done, check out this page. If you are looking to download the entire dataset, please check out this directory!
This page allows you to download observed, sometimes quality controlled, and sometimes estimated once daily reports from the NWS COOP network. More detailed documentation exists here and should be consulted before using the data.
Data is also available from the following states:
This information is mostly estimated until NCDC provides updated GHCN datafiles, which the IEM then merges into this dataset. The unfortunate side effect is that data changes as new information becomes available.
If you really need calendar day data and other variables like wind speed and relative humidity, check out the IEM Reanalysis effort.