I've got a bunch of family in Saskatchewan and from what I've seen, I think it's a mix of things:
- Higher percentage of strongly religious people. Issues like abortion and gay marriage are still a real concern for people in these areas.
- In many ways, farmers are small/medium business owners. Conservative fiscal policy is something that appeals to them as a result. Shutting down the Wheat Board was something the Conservatives promised to do and did. I know a lot of farmers were happy about that.
- Regional politics is a factor as well. I've heard things like: "Ontario doesn't care about farmers." and "We don't need another Prime Minister from Québec."
- To some degree, it's also a matter of them not identifying with "city people". They see there being a significant difference in how they live their lives and what they value (regardless of the actual similarities/differences). The Conservative party appeals to that aspect more than the others.
Again, this is based on what I've seen and isn't meant to be a logical explanation of government policy reflecting voting trends. Generally, though ... I think you can look at how people vote and find all sorts of fallacies.