In Massachusetts, Birth, Marriage and Death records recorded prior to 1921 are located at the Massachusetts Archives in the Dorchester section of Boston, Massachusetts.
The MA Archives has many records housed there, however for the purposes of this post we are restricting ourselves to just BMD records.
The MA Archives has all BMD records on microfilm from 1841 to 1915 available in their reading room. They only charge for copies and the staff is very friendly.
BMD records from 1916-1920 are only available in the form of index books at the MA Archives. Once you locate the record in the index book, you can order a certified copy for $3 from the staff. They will mail it to you within 6 weeks.
Researchers must register the first time they visit the MA Archives and are issued research cards that must be displayed while in the research room.
More about what records the Massachusetts Archives has can be found on their website at:
The MA Archives has other various vital records prior to 1841, however they acknowledge that most vital records prior to 1841 are located at the local cities and towns.
I travel to the Massachusetts Registry of Vital Records and the MA Archives on a weekly basis.