I'd also love anything other than anecdotal evidence from Mormons that UT or Mormons produce a disproportionately large number of businesses or entrepreneurs -- I'll happily bet on CA, NY, and FL for state entrepreneurship rates.
http://www.kauffman.org/research-and-policy/kiea-interactive...
Edit: I found it interesting that the state of Utah has one of the worst bankruptcy rates in the nation, while Vermont has one of the lowest...despite being the second highest in entrepreneurship activity, and being the least religious to boot.
NY was surprisingly low on the entrepreneurship index to me. My guess is:
* really high absolute entrepreneurship activity, but really high population * i'm biased b/c i erroneously think of NYC as New York State