The ideal circumstance would be an open election with a Republican in the White House.
The party in the White House typically does poorly in the midterms. But incumbent Governors tend not to be blamed for any disagreements in Washington. In 2006, Republican Governors were reelected in Minnesota, California and Vermont. In 2010, a Democratic Governor was reelected in Arkansas, although Governors of Ohio and Iowa were defeated.
That's a good point - in fact, in 2006, Democrats' best states were Wyoming, Tennessee, Oklahoma and Arizona. Republicans' best were Connecticut and Hawaii. Gubernatorial elections are not affected by national politics nearly as much as Senate and House races.