The cost of living data comes from the ACCRA Cost of Living Index for 2011 (the most current data available). The political makeup of state governments comes from Wikipedia’s list of United States state legislatures and list of current United States governors and represents the years 2011-2012.
Nebraska is excluded because its legislature is non-partisan. The District of Columbia calculation for % Democratic leaning uses the city council in place of both the upper and lower houses and the mayor in place of the governor.
$1.00 represents the average cost of living in the United States as a whole. Most states are subdivided into multiple areas and the cost of living calculated for each individual area. In this chart, the solid points are the median cost of all areas within a state. The error bars denote the highest and lowest cost areas within the state. The most extreme example of varied costs in a state is New York, where the median is $1.13, but the highest (New York City) is over $2.20.
Taxes are not included in the cost of living index. We can infer from this chart that including them would only make the differentiation larger.