As is mentioned quite regularly among Mexican political junkies, Calderón remains quite popular, even though his party tanked over the summer and much of the country remains convinced that Mexico is on its way to being Somalia Redux. To explain that paradox, some people argue that Calderón actually does have coattails, and the PAN would have performed much worse in July had it not been for the president.
Looking to poke a hole in that theory, José Antonio Crespo recently analyzed the PAN's electoral performance in states where Calderón is highly regarded, and determined that even in those areas, the PAN mostly declined from 2006 to 2009. This doesn't entirely negate the coattails-do-exist argument (it remains possible that it would have been worse without Calderón in office), but it certainly does undercut it a bit. One of the places he mentioned was Coahuila, where (in Torreón, at least) I think the lack of presidential coattails comes from the fact that the dissatisfaction with the local PAN is much more profound than the approval of Calderón's performance. In places where the PAN has governed locally in recent years (Guanajuato, Querétaro, Jalisco), I imagine a similar dynamic is at play.