Only a handful of capitals went for McCain.
Definitely McCain
Cheyenne
Bismarck
Pierre
Oklahoma City
Jefferson City
He did also win the counties Phoenix, Topeka, Frankfort, Annapolis, and Charleston are in, although I believe Obama win the actual cities themselves.
Odd since here in Canada, the Tories (our right wing party) won several provincial capitals (Fredericton, Quebec City, Winnipeg, Regina, Edmonton, and Yellowknife) although only in Edmonton did they get over 50% and also most Canadian cities tend to have fewer suburbs and extend further out. Even our national capital Ottawa went Conservative, although with 42%.
I'm pretty sure Oklahoma city went for Obama.