Baptistest

Mississippi has a lot of Baptists - 55% of the population, making it the most Baptist state in the US.  However, it's only the second most Baptist state in the world.  First place goes to an isolated mountainous state in the very far Northeast of India called Nagaland, where a solid 75% of the population is Baptist.

For centuries, its difficult terrain and obscure location kept Nagaland and its indigenous tribes largely uncontacted, except for brief, often hostile encounters with neighboring groups.  This meant that ancient customs and religious practices persisted undisturbed by upheavals in the rest of India such as the arrival of Islam or European colonization.  When the British finally sought to establish control over the area in the mid 1800s, they found a region described as "headhunters' paradise" (anyone other than the British would've found someone else to conquer upon hearing that description), and had to fight against decades of guerrilla resistance from the local tribes.

When Baptist missionaries arrived in 1870, they found that the area's isolation meant that there was little competition from other major religions for converts.  The traditional animist religions were replaced by Christianity over the next hundred years, and headhunting was eliminated (apparently "Headhunters for Jesus" didn't catch on).

Nagaland's history of isolation and cultural differences with the rest of the subcontinent meant that they felt little reason to join India in the 1950s, aside from the fact that the British told them they had to (as is so often the case throughout history).  A nationalist insurgency has been simmering in the region ever since, with a fragile ceasefire holding back open war between the Indian military and Maoist rebels.