Texas was the last of the Southern states to enforce the Emancipation Proclamation on June 19, 1865. However, Georgia's ratification of the Thirteenth Amendment on December 6, 1865 officially ended slavery throughout all the states, because only 3/4 of the states needed to ratify the amendment to make it legal. Other states continued to ratify the amendment as well, Mississippi being the last in 1995.
Here's a list of states in order of their ratification:
http://www.usconstitution.net/constamrat.html#Am13
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No. Texas was the last state to abolish slavery
New Jersey was the last northern state to abolish slavery
Vermont was the first territory (not a state at the time) to abolish slavery in 1777, the first state to abolish slavery outright was Pennsylvania in 1780.
Massachusetts
Vermont was the first territory in 1777 to abolish slavery but in 1780 Pennsylvania was the first state to enact a law beginning abolition of slavery, freeing future children of slaves. Massachusetts was the first state to abolish slavery outright in 1783.