They're uncommitted. My guess is a large number of them are small-government republicans, but none willing to vote for small government Ron Paul because of his Iraq opinion.
Republicans are in a tough election year this time around. There's general frustration from conservatives and evangelicals against Bush, anger from moderates and independents against Bush, and upset constitutionalist republicans against Bush as well. Also the party seems to be transitioning from a small-government party to a large-government-when-we-have-to-protect-ourselves-from-bad-guys party.
When the primaries started the republican candidates were filled with a lot of good qualities, but also a lot of bad qualities that no one section of the republican party wanted to concede. Giuliani upset the social conservatives, Huckabee upset the economic conservatives, Romney upset the base with his flipflopping, Thompson yawned his way through, McCain upsets the conservative whole, Paul should've ran before World War 2 ....
In the end the Republican Party found itself largely disorganized and fractured. Mainly it's the conservatives who are angry because enough "change" is wanted by the entire nation that the most liberal candidate is going to be nominated by their party. They feel their voice won't be heard.
These Republicans could not bring themselves to vote for a New England flip flopper like Romney. Paul is too Libertarian for the party. Huckabee still has some questionable skills economically (not many like his Fair Tax Plan).
In order to show discontent with their party, voting UnCommitted sends a message to McCain and the Republicans that they aren't happy and they need to do something drastic if they want to win the White House WITH them.