John and Charles Wesley came over to Georgia in 1736. Charles went to Ft. Frederica on St. Simons Island, John spent time in Savannah and also at Frederica. The colonists weren't really interested, and they both went home after a couple of years.
The church still exists - Christ Church Frederica - obviously not the original tabby building but a small 19th c. carpenter Gothic structure that was built after the Yankees burned the previous one. It's still an Episcopal church as it was when the Wesley brothers were there.
The hilarious thing is that of course a huge Methodist conference center, Epworth-by-the-Sea, has grown up right next door. Tour buses full of Methodists come round to see the church -- sometimes they come in when a service is going on, and are absolutely shocked to find an Episcopal service in full swing. It was especially funny before the prayer book revision.