I agree with Mark Steyn over at the Corner--this loss is a big problem for McCain. He needed a victory tonight to solidify his status as GOP front-runner. Now that status is thoroughly up for grabs, and thoroughly subject to the outcome of the South Carolina primary. And since McCain's recent South Carolina momentum was based on the idea that he was edging toward front-runner status nationally (he'd been ticking up a bit there even before New Hampshire, but really surged afterward), I think this significantly dents his prospects there.
But perhaps the worst part, as Steyn says, is that McCain is going to have a tough time raising money after this. And he wasn't exactly flush going in.
At this point, Huckabee has to be considered the favorite in South Carolina. He should have a near-lock on the evangelical vote while McCain and Romney (and to some extent Thompson) split the non-evangelical vote.