Absent exit polling data, any broad-brush lessons of the Georgia run-off are a little dicey. But here are a few conclusions which merit some discussion:
1. Money helps. Yes, maybe Chambliss would have won, even if he and his supporters didn’t grossly outspend Martin. But, clearly you can’t have too much money.
2. GA Dems have not figured out how to maximize African American turnout without Black candidates.
As Perry Bacon, Jr. noted in his WaPo post-mortem on the Georgia run-off,

Fewer than a quarter of people who cast ballots early in the runoff were black, compared with more than a third in the November vote. Black voters overwhelmingly favored Obama and Martin.

Nate Silver echos and amplifies the point in his fivethirtyeight.com post on the run-off:

Unfortunately, nobody conducted an exit poll of this race, which makes the postmortem a little bit more difficult to conduct. From early voting statistics, it appears that African-American turnout was substantially lower, which no doubt was a significant factor in Martin’s defeat, as roughly 55 percent of his vote on November 4 came from black voters. If black turnout was closer to the 25 percent of the electorate that it was in 2004 rather than the 28 percent of the electorate that it was on November 4, that would cost Martin a net of about 4 points, implying a loss of about 7 points. If it was closer to the 22 percent of the electorate that turned out to vote early, that would have cost Martin a net of 8-9 points, implying a loss of 11-12 points

3. Conservatives can push the limits of negative campaigning in GA and get away with it.
This one did get ugly with some shameless sliming of Martin as ‘soft on child molesters’ and other unsubstantiated ‘soft on crime’ allegations. Not quite as outrageous as Liddy Dole’s “Godless’ slam of Kay Hagan, her opponent in NC, but getting pretty close.
4. Saxby Chambliss is a shrewd campaigner.
You have to give it to Chambliss. He used all of his advantages to the max. Brought in the heavy hitters of his party and, despite being morally challenged, he displayed an impressive command of facts and arguments in his debates with Martin. Even trotted out warm and fuzzy ads in the closing days to create the impression that he was jiust a nice grandfatherly guy, after all.
Chambliss at least matched Martin’s out of state support, thanks no doubt to the RSCC and other conservative groups. Atlanta Journal-Constitution ‘Political Insider’ Jim Galloway reports that, in his victory statement, Chambliss revealed that “volunteers” from 43 states came to Georgia to work on his campaign.
5. GA has not arrived as a purple state yet. (For a good county map of the GA Senate run-off vote, click here, and then click on GA) With Repubicans holding the governorship, both houses of the state legislature, two US Senators and McCain taking the EV’s, GA has a ways to go before Dems are competitive in state-wide races
On that topic, the last word in this post-mortem collage goes to Dr. Alan Abramowitz, Alben W. Barkley Professor of Political Science at Emory University and one of Georgia’s most astute political observers. As Abramowitz said in an email (See also here) to TDS:

Before the Obama campaign moved into Georgia this was not a race that Democrats were hopeful about winning. Not only is Georgia a difficult state for Democrats but the party was unable to recruit a top-tier candidate to run against Saxby Chambliss. Jim Martin was recruited by the state party at the last minute to prevent DeKalb County CEO Vernon Jones, a highly controversial figure who had bragged about voting twice for George Bush, from winning the nomination by default. By registering and turning out huge numbers of African-American voters, the Obama campaign turned the senate race from a yawner into a nail-biter. In the runoff election, though, without the pull of Obama at the top of the ticket, there was a dramatic fall-off in turnout especially among African-American voters.

But Abramowitz, who came closer than any pundit to predicting the electoral vote totals before the November presidential election, also makes the case that the future for GA Dems is not as bleak as some say:

Despite the disappointing results on Tuesday, however, the long-term demographic trends in the state favor Democrats. The nonwhite share of the electorate should continue to increase for the forseeable future and metro Atlanta continues to grow rapidly. In the presidential election, Barack Obama won 57 percent of the vote in the 10-county Atlanta metro area, a huge improvement over John Kerry’s 48 percent in 2004. Moreover, the state’s feuding Republicans are likely to have a contentioius gubernatorial primary in two years. If Georgia Democrats can unite behind a strong candidate for governor and mobilize the state’s growing Democratic base, the party should have a good chance of retaking the statehouse in 2010. And don’t be surprised to see Georgia in the blue column in the 2012 presidential election.