Granted, neighboring states are usually very similar, and in many aspects, life in Connecticut won't vary much from life in Northern California. The TV carries most of the same shows, the same movies are playing at the cinema, and the same food is being served at the Macca's down the street (although I do understand California has a few regional additions to the menu). What lies under the surface, however, can be enough to give someone real culture shock.
Very consistently, the Deep South (Mississippi, Alabama, and Georgia) have ranked at the bottom of desirable places to relocate by people in other parts of the country. Being from the Tennessee/Kentucky area myself, I personally wouldn't have a problem with it, but I can understand why a person from New York would dread even a visit to the area. For one, many of the people have an attitude towards Northerners that can lead to some uncomfortable situations. Life, especially rural life, moves at a much slower pace than the typical urban Northeastern version. Much of the traditional food here would be considered next to inedible by a person off the street in Buffalo or Bridgeport. Even the dialect can be a barrier to people from outside the region.
It's true that the federal relationship the states have has contributed to a greater sense of unity among the people, but one shouldn't expect that to mean that the rules and customs are uniform throughout the nation. What may be considered a common politeness in one state may be taken as a rude intrusion in another. What may be perfectly legal, and even encouraged, in one state could very well be a Class IV felony in another! We generally consider ourselves one nation, but there is also a degree of independence and nationalism felt within each state, and some more than others.