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.
I would have thought Texas would be in the top three, and always thought of the state as being the belt buckle of the Bible Belt per my experiences, but that tells you what I know. But overall, the South sure is pretty religious and per this data.