The Economist has an otherwise-not-very-interesting article about Utah Republicans' decidedly non-Arizonan attitude towards immigration, but I thought this part about Mormons was interesting:
It might also have helped that virtually everybody at the table was Mormon. The Arizona state senator who sponsored SB1070, Russell Pearce, is also Mormon, which has led to speculation that this is why the Mormon Church has not yet expressed a moral opinion on the matter. But as Mormons, many of Utah’s politicians have either been in Latin America as missionaries in their youth or have loved ones who were. Mr Herbert’s son has been to Puerto Rico. Mr Sandstrom once proselytised in Venezuela and says he even has a permanent-residency permit there (through a fluke of paperwork). He once sponsored a Venezuelan family to come to America legally.
Mexico looms large in the history of the Mormons – it was one of the original destinations of East Coast Mormons like Jospeh Smith fleeing persecution in the 1840's back when what is now the American Southwest was Mexico. Even after Mexico lost California and Mormons found a home in the Salt Lake Valley, migration to Mexico became appealing again in the 1880's, when Mormons were forced to renounce polygamy in order to join the Union. The Mexican Revolution eventually forced the Mormon families out of Mexico in the early 20th century and back to the US where they became leading members of the Mormon church (including the Romneys).
Despite its history as a sanctuary for white fundamentalist Mormons, vast majority of the 1.2 million Mormons living in Mexico today are Mexican converts and do not practice polygamy. Despite the Economist's rosy picture of international travel breeding tolerance, I have a feeling Utah's tolerance of immigration relative to Arizona has more to do with it not being a border state and Mexicans' propensity to convert to Mormonism.