Big state, hatch comes off at different times depending on where you are; the farther west seems to get it a bit earlier. I hit it real good 3 years ago on May 19 on a stream in far western MT; fished it 2 weeks ago, hoping for some late skwala action and had one of the big bugs crawling on my arm. Didn't find the hordes in the bushes but the hatch wasn't too far off; unfortunately won't be able to get back there this year.
The big name water that everybody heads for should be some time in June; check reports from flyshops for the latest info - Kingfisher, Troutfitters, Slide Inn, Yellowstone Angler, etc. Maybe John Rhodes will get out in time for reports from Paradise Valley.

Regards,
Scott