Well, no one was more surprised than Rick Santorum to learn he'd won Mississippi. He was on stage giving a victory speech for his win in Alabama.
It was all very close. CNN is reporting that Santorum has 35% to Gingrich's 30% and Romney's 28% in Alabama. (79% reporting)
CNN reports that Santorum has 33% to Gingrich's 31% and Romney's 30% in Mississippi (with 96% reporting).