Each year Phoenix Marketing International Research tallies up the number of millionaire households by state. For 2007 the top ten states with the most millionaires are led, as usual, by California.
New Jersey takes the blue ribbon for density of millionaires. Knock on a random sampling of 14 front doors in the Garden State, and you're likely to find at least one household with a seven-figure net worth.
You'll find a spreadsheet with the complete survey results for the last three years here.