Which states require their elecoral college members to vote the way they pledged on election day?

I don't think any do. They can vote whatever way they want. The reason our founding fathers set up the Electoral College was to protect the nation from someone who might get the general population to elect him President who would be a danger to the country. Remember David Duke head of the KKK tried to run as President. Know image if you had been able to convince the American people to vote him into office and there was no Electoral College. In a case like that the Electoral College would probably voted for his oppenent. Now of course a thing like this has never happened.