Well yes and no. We were in Santa Fe and winters can get cool to cold although the sun is warm and always shining it seems. Beautiful area of the country but water availability concerns us a lot plus home prices are crazy there with avg price at $500k now and a nice spot especially in the mountains around the city is likely $750k+. We still love Santa Fe and would go back. As for taxes, sure FL does not have State tax but that I believe is oversold big time. Reason is that FL is much more expensive than other States and these are some examples for us currently:
Real estate taxes - paid around $5400/yr in ME within walking distance of beach in Kennebunk, 3000sq ft house, four car garage all on 6.5 acres. Here in FL, small 1100sq ft house, on an island but not walking distance to beach, no garage on .75 acres, $5k. Also have to pay extra for garbage and recycle here, did not have to in Kennebunk.
Pet insurance - for one pup in ME it was $55/mth, here in FL it’s $104/mth.
Those are just some comparisons, I am sure there are others.