An analysis of more than 350,000 interviews conducted by Gallup in 2008 finds Mississippi, Alabama, South Carolina, Tennessee, Louisiana, and Arkansas to be the most religious states in the nation. Vermont, New Hampshire, Maine, and Massachusetts are the least religious states. Texas made it into the Top 10 with a tie of Kentucky.
The question the Gallop pollsters asked respondents was, "Is religion an important part of your daily life?" 85% of Mississippians surveyed indicated it was, while only 42% of Vermonters indicated such. (Of the Texans and Kentuckians surveyed, 75% affirmed religion to be an important part of their daily life.)
It would seem that when it comes to self-identified religiosity, what region of the country one lives in does make a difference.