The following are Republican gains, as defined by net change from Nov 2004 to Nov 2006.
AL Sen. GOP +2
GA House GOP +3
ME Sen. GOP +1
MT House GOP +0* (Control D -> R)
MT Sen. GOP +1
OK Sen. GOP +2 (Control D -> Joint)
TX Sen. GOP +1
In the previously 50R-50D MT House, Democrats lost a seat to a Constitution Party candidate. While Republicans did not gain seats in the MT House, they did gain control of the legislative body. (In the MT House, the Governor (D) breaks ties in leadership.)
What about Alabama, Louisiana, and West Virginia?
See above for Alabama, Louisiana does not have State Legislative races in even-numbered years, and Democrats gained seats in West Virginia.