I'm actually curious if a rural county in Alabama is more religious than a rural county in, say, eastern Oregon or upstate New York. In other words, is this more that the South is more rural than the Northeast or the West Coast?

One factor is likely that until the last half-century or so, the South received far fewer non-Protestant immigrants than the rest of the country because it was an economic backwater. (This largely ceased to be true after World War II and the ascendance of the Sunbelt.) When people think the South is more "religious" they often mean it is less religiously diverse--in other words, a region where most folks are evangelical Protestants might feel more "religious" than a northern city with large numbers of Jews, Catholics, Muslims, Buddhists, of various backgrounds and skin colors, who are nevertheless quite religious.