FamilySearch is reporting that 22% of the 1940 census for Kentucky has been indexed. Many counties have portions completed and the images may be browsed now. Joining in the indexing effort are the genealogical societies for Caldwell, Crittenden and Hopkins Counties.
You might want to take a look, also, at what else is available on Kentucky on FamilySearch. New records are added often, but be aware that some records require a paid subscription to Fold3, including the Civil War records for Union and confederate soldiers.
If you have not checked the McCracken County, Kentucky Records Search , you might give it a try. I've found a number of folks from surrounding counties moved to Paducah and some simply went there to marry. This is a handy link.
Those who were regular watchers of Ancestry.com-sponsored Who Do You Think You Are on NBC are going to be disappointed that the show has not been renewed for 2013. Some episodes were very interesting, but others were not, in my opinion. I wonder if all of the travel to faraway countries also put a financial strain on the network.