The 2002 United States Senate election from New Hampshire, a contest between Then Governor Jeanne Shaheen and then Representative John E. Sununu is one which showcases New Hampshire's eccentricities.
In a 4.42% John Sununu defeated Shaheen 50.82% to 46.40%, In addition to that, this election showcased the old coalitions, whereby the GOP their margins from the MA border towns, the suburbs and sea-cost towns in addition to handly winning Belknap and Carroll Counties.
Whereas the Dems did well in most of the VT Border Counties, and did well in Strafford and Merrimack.
I should add that the Dems still do well in the areas they did well, but the coalition change mentioned gave them Hillsborough, and is giving them, rocking ham and Carroll. Where the GOP just gained Coös.
With that Shaheen's loss here can be atributed to the shallacking she received in Belknap, Carroll, Rockingham and Hillsborough, where she underperformed Gore(2000), and despite doing better in the rest of the counties she was unable to make up the diference, leading to her loss
However, Shaheen would end up seeking a rematch with Sununu in the democratic wave election of 2008, leading to the 5th of 6 times that an incumbent senator was defeted for reelection in NH since the direct election of senators.
Lastly, this election is one that showcases that Popular governors in NH are not nessesarilly shoe-ins for NH's senate seats, as Shaheen won 66.1% 30.1% in her 1998 Gubernatorial reelection.
As such, while races that have incumbent governor will be compettitive(assuming they have a strong opponent) they are in no ways shoe-ins or prohibitive favorites simply because of prior landslides.