AZ is not CA - It's difficult to call it a "Clinton state" when Gore won it by a bigger margin than Bill did. This is a toughie to figure out.
Gore - 292 - 49.5%
McCain - 246 - 47.2%
I actually think the only damage McCain does to Gore is he loses WI, NM and MN. But wins because he's able to win AR, TN, FL (and I know I'm pushing it - LA). Basically the moderate tag (God, just look at his positions, just because you aren't as conservative as Bush doesn't mean you're not conservative) works in the upper mid-west, but since he hadn't abandoned all of his principles then I doubt he would have brought out the Christian fundies that helped Bush in the south. I wouldn't have been surprised if Gore had been able to swing WV back.