I think Bayrou's support is largely coming from Sarkozy.  The parts of a Sarkozy Presidency that have been appealing in the past that do not involve racism are being co-opted by Bayrou. Bayrou is saying "vote for me, I'm what you like about Sarkozy without the Le Pen overtones."  He's a safe conservative vote for anyone uncomfortable/ashamed about the Le Pen situation.  Note that Chirac had 80-some% in 2002 against Le Pen.  This would seem to show that only 20% of the electorate is strongly right-wing in terms of Immigration/Racisme.   I think Le Pen lacks the momentum he acquired in 2002 (mostly runoff from uninspiring Chirac and Jospin).  His numbers would conceivably look similar to years past.  I also wonder about the "not running" play he may use to sideline Sarkozy.  It would be a clever way to save face as he surely has learned he can't win in a 2nd round and this is his, if not his platforms, final run.

Royal seems to be running outside of Paris.  Probably the Socialists have discovered that they lose in 2002 because they didn't capture much of the non-Paris vote.  The Democrats in the US won in 2006 largely by recognizing their failure in certain regions and pursuing the vote in those areas, with tremendous success.  If the polls are capturing Paris/Urban centric voters and undercounting the suburbs and the rural/provincial areas you may be missing a huge chunk of Royal's base support.  If the idea that Le Pen thrived on rural votes in '02 is accurate than this may hold water.  

These are my theories:

1. Le Pen's 2002 support was more a reflection of rural neglect than it was a reflection of racist/nationalist trends.

2. Sarkozy's base is being eaten by Bayrou who is also successfully capturing support that Royal has failed to secure.

3. Royal's base is solid and she is pursuing the rural vote that went to Le Pen in 2002 (in protest).

4. Chirac's failure to support Sarkozy or possibly even his explicit support of Sarkozy will ultimately hurt Sarkozy when it finally happens.

5. Bayrou is gaining huge support from the dissatisfaction with the system and the "annointed" leaders.  Sarkozy has the most to lose from this.  Bayrou is a real threat to win this thing.

6. This type of election is far more interesting than the single vote/primary system we have in US.  Candidates are forced to appeal to a far wider percentage of the electorate to gain the office which can't help but improve their ability to govern/represent the Nation when they ultimately take office.