Is there an intermediate state between death and rebirth in Theravada tradition? The Tibetan book of the dead is very famous and widely known, but how about rebirth in the Theravada tradition? Is there anything similar to an intermediate dimension or does death automatically lead to rebirth?
When, Vaccha, a being has laid down this body but has not yet been reborn in another body, I declare that it is fueled by craving382. For on that occasion craving is its fuel.
  
  &mdash; SN 44:9 The Debating Hall
  (Bodhi, from SuttaCentral)


And another:


  Vaccha, when a being sets this body aside and is not yet reborn in another body, I designate it as craving-sustained, for craving is its sustenance at that time.
  
  &mdash; SN 44:9 Kutuhalasala Sutta: With Vacchagotta
  (Thanissaro, from Access to insight)


Here's Bhikku Bodhi's note #382 in his printed edition of the Saṃyutta Nikāya:


  Tam ahaṃ taṇhūpādānaṃ vadāmi. The Buddha’s statement seems to imply that a temporal gap can intervene between the death moment and reconception. Since this contradicts Theravāda orthodoxy, Spk contends that at the death moment itself the being is said to be “not yet reborn” because the rebirth-consciousness has not yet arisen.


So on the one hand, there's Theravadin orthodoxy which denies it. On the other, there are passages in the Pāli canon, as above, which could be taken to support it.

I personally take the passage above as literal and that the Buddha says some kind of state between death and birth exists, without being specific as to how long it is.

Other resources I found when searching:


Rebirth and the in-between state in Early Buddhism by Sujato
Dhammawheel.com post on the subject
Google cache of a thread on dhammawheel.net discussing the same subject


In this last link, one of the posts as dhammawheel.net mentions, very apropos of Bodhi's comment on Spk:


  The main reason the commentaries go to lengths to deny a bardo is because it's inconsistent with the scholastic Abhidhamma framework, and the associated notion of a single moment of rebirth-linking consciousness.