According to the CNN exit polls (ranked from most to least conservative):
Iowa 37%
New Mexico 37%
Florida 35%
Michigan 35%
Nevada 35%
Ohio 35%
Washington 35%
Wisconsin 35%
Colorado 33%
Minnesota 31%
Oregon 31%
Pennsylvania 31%
Virginia 31%
New Hampshire 30%
California 29%
Maine 27%
Illinois 26%
Maryland 26%
New Jersey 25%
New York 25%
Vermont 25%
Connecticut 24%
Massachusetts 21%
Delaware, Hawaii, Rhode Island: No exit polls
The ones I bolded are very surprising to me. There is a probable explanation for NM and NV (and to a lesser extent, CO) involving Hispanic Democrats identifying as conservative. But VA ended up in the same boat with OR and MN and left of WA? Didn't coal country turn out hard for Romney this year? Also, I would have expected the finance conservatives to have much more influence than that in CT.