Mitt Romney finished second in a clean fight in New Hampshire. In this case, McCain won independents by a wide margin (a 3:2 ratio to Romney), and that was what gave him about a five-point win. Mitt exits with an overall lead in delegates and having come off two very strong debate performances.
The independents are the real story. They apparently went over to the Dem primary in New Hampshire, after leaning Dem in Iowa as well. In New Hampshire, this was apparently by a 59-41 margin.
How big is that? Look at the 2004 exit polls. George W. Bush was just about even in the independent voters (48% to John Kerry's 49%). In 2006, the exit polls show the GOP got blown out by a 57-39 margin.
The independent voters in New Hampshire tilted the race to John McCain. The message sent to the GOP is pretty simple: In 2005-2006, you let the right go too far. They want to win the war on terror, but they do not want a hard line on immigration or most other social issues.
Will the GOP listen? They have to, if they want to win elections.
EDIT: I cannot find the 59-41 source... but I did find CNN's exit polling data for the Democratic and Republican primaries. The Democratic primary electorate had about 44% of independents. The GOP electorate came in with 34% independents.
Look at the total turnout. 279,276 people voted in the Dem primary. 228,531 voted in the GOP primary. That means about 122,760 Independents voted for one of the Dems compared to 77,690 who voted for one of the Republicans. That's a 61.2 to 38.8 blowout.
My initial recall (which I couldn't find) was optimistic.