Bigamy is illegal in all fifty states (meaning that you cannot be validly married to two different people at once), and usually has the effect of making the second marriage void -- in other words, your marriage to the second spouse NEVER HAPPENED. However, same-sex marriages aren't recognized as legitimate in every state, either by statute or state Constitutional amendment . . . so the answer is tricky.
Basically, it's a confusing issue, with lots of changes underfoot because there are state/federal implications that are changing every day (The federal law DOMA's constitutionality, for example, is currently under consideration by the United States Supreme Court).
I suggest you talk to a family law specialist to get a concrete answer (i.e. not me), and I have recategorized your question to get their attention. If I were going to give you my best guess, though, I would say the safest way to deal with this is to finalize your divorce in Connecticut with your spouse there, and then re-marry your husband in Missouri AFTER that divorce is final. There's a chance that your marriage to your husband isn't valid, and Missouri doesn't recognize common-law marriages, but it's also possible you have to do nothing. The specialist should be able to advise you further.
Answers to legal questions are usually fact-dependent; my answers are general and based on the facts as you describe them and necessarily includes assumptions. More specific answers can be provided only after researching the appropriate law and a comprehensive consultation in which all relevant facts are disclosed. Until both a retainer agreement is executed and we have a consultation, I am not your lawyer and you are not my client. Moreover, I cannot be your attorney unless you are located in Missouri, the only state in which I am licensed. If you are not in Missouri, please consult an attorney in your state for assistance, as my advice may be incorrect or incomplete. This uncompensated answer is provided for informational purposes only, as a free public service; any reliance thereupon is at your sole risk.
Contact a family law attorney in your area to sit and discuss at length. Too many holes in your query to give a full answer. My suspicion is that your same-sex marriage occurred before states recognized it but it's just a guess without reviewing documentation.
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