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NM is probably better than AZ as AZ has taken in countless CA escapees, as has TX. I haven't heard as much about NM in that regards. AZ does have the forests and mountains near Flagstaff that are nice.

NM is awful in many freedom metrics. it is improving a bit though, and is home to Hatch and their famous chilis.

It's hard since every state has their own set of shit. Hell maybe Kansas? But then there's the tornadoes...