I know the basic theme here seems to be the weather and where I live the Winters can be a bit rough, but economics should also play an important role when choosing a retirement location. One of the things I'm greatly enjoying about Pennsylvania is the fact that none of my retirement money is taxed by the State. I'm saving a huge amount of money compared to some of my friends that are living in New York or New Jersey.
There are a lot of States that don't tax your retirement income, so check it out.
Oh, you'll still get hit by the Feds, no way around that one, unless you move out of the U.S.A.
My husband and I are new to PA (south central) and we are SHOCKED at the education taxes - ouch! But overall we do love it here.