Micah Cohen over at 538 is running a series on Presidential Geography and part of his state by state write up is indicating the bellwether county in each state. I'll post here the list so far and I'll update it when he posts new posts.
Montana: Yellowstone County (Billings)
New Mexico: Sandoval County (Rio Rancho/Albuquerque Suburb)
Yellowstone county is key in the Montana senate race. The republican name, his name escapes me at the moment though it shouldn't, but the former republican senator from that state who lost in 2006. He narrowly won yellowstone county in '06, but lost anyway.
Cohen was saying that the main thing for Democrats in the state is to get big margins in the western part of the state and keep the margins low in Yellowstone County.