The state that may surprise conservatives is New Mexico, where Republican Gov. Susana Martinez has acquiesced on both a health insurance exchange and on expanding Medicaid rolls. Martinez, who was considered a leading candidate for Mitt Romney's VP slot last year, became only the second GOP governor to endorse the Medicaid expansion. Nevada Gov. Brian Sandoval is the only other Republican governor to tackle both of these projects, but he's not often mentioned as a national-level political figure.
A governor declining to build a state-based health insurance exchange doesn't mean there won't be one in that state, merely that the onus falls on the federal government to build one themselves. Regardless, Republicans have typically tried to be uncooperative when it comes to Obamacare provisions.
Hat Tip: Joseph Lawler