Here is a list of all contested (both parties fielded a candidate) open-seat races (neither candidate was an incumbent) in Massachusetts since 1980, covering Congressional, gubernatorial, and Presidential elections. Asterisks indicate special elections.
Obviously Massachusetts is a very blue state, but the notion that the Democrat always wins by a 20- or 30- point blowout is just not true. The Democrat received more than 60 percent of the vote on only 4 of 19 occasions and averaged 56.2 points to the Republican's 39.9. And although I generally disdain comparing governor's races to races for the Congress, it is worth remembering that Republicans' controlled the governors' office for 16 consecutive years from 1991 through 2007. John Kerry, for his part, had some fairly close calls after becoming Senator; although it had been a long time since Kennedy did (a 17-pointer against Mitt Romney in 1994 was the closest.)
Certainly, I'm not claiming that the race has no broader significance; in some Bayesian sense, every point closer that Brown comes (especially, duh, if he wins) is one in favor of the case that Democrats are in for a rough 2010 (as I continue to expect). But a close-ish Brown finish would not be quite as unprecedented as it has been made out to be; the state has often given the newbie a little freshman hazing and then fallen in love only later.
p.s. You can dispute the inclusion of Dukakis in 1982, since he had been governor before but was not an incumbent at the time, and Cellucci in 1998, who had been acting governor after William Weld resigned. If you pulled both races out, though, the overall average would be pretty much unchanged.