The Tories have won three seats in Wales, their first MPs since being wiped out in 1997.
Conservative MPs David Jones, David Davies and Stephen Crabb
Welsh assembly member David Davies won Monmouth, former AM David Jones took Clwyd West and Stephen Crabb triumphed in Preseli Pembrokeshire.
All three Conservative gains were at the expense of Labour and Mr Jones had a majority of just 133.
There were disappointments for the Tories elsewhere, as they failed to win Vale of Glamorgan and Cardiff North.
Mr Davies said he was "absolutely delighted" at the result which gave him a 4,527 majority over Huw Edwards.
He will now stand down from his role as an AM at the next election in Cardiff Bay in 2007.
Huw Edwards said people should represent only one parliament at a time
"I think it's going to send a message back at the government that people are disillusioned with the way that people are being treated and I intend to ram that message home when I get to Westminster."
He said he would be concentrating on education, the economy and health and it would be a privilege to serve Monmouth.
The defeated Labour candidate Huw Edwards said: "The tide is either coming in or going out and at the moment it has gone out a little bit, but it hasn't gone out so far because there is still a Labour government"
"I am obviously disappointed by this result and I am making no predictions about the future.
"But I do think people should represent one parliament at a time and there should be a by-election for assembly members who have been made MPs".
Ex-MP Gareth Thomas said it was 'almost the great escape'
In Preseli Pembrokeshire the seat vacated by retiring Labour MP Jackie Lawrence, Mr Crabb polled 14,106 votes, 607 more than Sue Hayman, the Labour candidate.
Mr Crabb, 32, who grew up in Haverfordwest, said:"It's been a tough, tough campaign. I'd like to pay tribute to former MP Jackie Lawrence who served in parliament for eight years.
"It is a huge, huge privilege to be elected here in Preseli Pembrokeshire. I promise to work 100% for local people and not put the party before them".
Clwyd West was the final Welsh constituency to declare, just before 0500 BST, and David Jones was returned with 12,909 votes, a majority of just 133.
Solicitor Mr Jones briefly served as a regional AM in Cardiff Bay, replacing Rod Richards when he stood down in 2002.
"I knew it was going to be tight, but as tight as that was a real surprise to me," said Mr Jones.
"The issues concerning people were crime, antisocial behaviour, pensions and income tax and I am certain that we will see them raised again.
"We had a drubbing in 1997. We are making progress and I think this will be a very useful springboard in the assembly elections.
"We are winning seats throughout Wales. It's clear that the Conservative party is back in business in Wales."
But the defeated candidate Gareth Thomas, who had held the seat for one term, said: "Almost the great escape but not quite."
"The Conservative party has had one hell of a job prising me from this constituency."
Shadow Welsh Secretary Bill Wiggin, welcoming his party's first parliamentary wins in Wales for 13 years, said: "Never again will Wales be a Conservative-free zone".