Jim Lindgren lays out the numbers for the states with the highest and lowest unemployment rates. Not surprisingly, the highest unemployment states are mostly liberal states with high levels of taxation and unionization. Those with the lowest unemployment rates are conservative states with low levels of taxes and unionization.
I don' think that's a coincidence. The exception is in the Carolinas, which although generally conservative, also have high unionization rates (lots of manufacturing activity such as textiles).