Red States with Blue Governors

A friend pointed me to the website of the Democratic Governor's Association, and I have to say, my brain is boggled. Most of these are red states. In fact, the three Blue State Classics--CA, NY, and MA aren't on the list. (I knew that, but never thought to look at other Blue States.) I just don't get it. I figured Schwarzanegger was a bit of an anomaly in this as in all things, and CA Republicans are generally pro-choice. Pataki seemed to rely on a combination of Upstate NY voters and Manhattan special interests who are liberal enough to vote for Kerry but have enough at stake in NY to vote for Pataki. I never did understand why MA would have two Democratic senators (one of whom isn't all that liberal) but a slew of Republican governors. But look at this list of governors? Many, many of them were voted in in 2002. How can so many voters happily vote in Democratic governors and then turn out to solidly elect a Republican President and Republican Senators? Someone please explain!