Rudy campaigned for Ken Blackwell in Ohio, who lost by over 20% and received very little support from outside the state otherwise. Ken is very conservative in every sense BTW.
Other good conservatives who lost: Santorum and JD Hayworth. I know the stated reasons why they lost (the Democrats ran "conservative" democrats), but losing such good conservatives isn't a good sign of things to come at all.
Rudy is as fiscally conservative as they come, even more so than President Bush. As to social issues, we haven't made out terribly well on that front in nearly 27 years, and as far as I can tell, the states have had far more success on that front than the federal goverment.