To me where you live is the #1 factor of everything in your life. How far to get to family. The weather. The social scene. The political scene.
If you are moving ONLY for money, I think Alaska wins because of the oil pipe checks.
But - let the weather be a nice bonus reason to move someplace ;) Moving from IL to IN (yes, my name is now obsolete), I saved maybe 3k / yr on property tax, and 2% on income tax.. but when I got here I found out that there is a 1.75% county income tax, which takes back a lot of the income tax savings. Bummer, glad I didn't move just for taxes ;)