Mark Blumenthal has a SOTU primer:
Gallup's report includes a table showing the level of presidential approval measured immediately before and after the last 27 State of the Union addresses. "Across all presidents," they report, "the average change in approval has been less than a one percentage-point decline.
It is also keeping in mind, as I wrote on the old Mystery Pollster blog four years ago, that the one big exception to the rule — the apparent 10 percentage point jump for Bill Clinton in 1998 — was a very unique presidential address:
The Monica Lewinsky story had broken just a few days before. The day before that speech, Bill Clinton faced the cameras and delivered his infamous "I never had sex with that woman" quote. MP cannot find the ratings for that speech, but interest in the speech was certainly high. Ironically, the reaction to Clinton's performance – seemingly unfazed by the scandal erupting around him – help[ed] boost his numbers in a way that persisted until the impeachment trial ended with an acquittal.
So the one exception to the rule may have been less about perceptions of the speech itself and more about how the speech fit into the context of a larger event.