I say it depends on what you want to do with your guns. As someone said earlier, the list of states that are pretty decent when it comes to regulations is a lot longer than the stringent states.
If you just want to target practice whenever/wherever you want, then yeah, try something like Wyoming. But if you're interested in getting into big game - deer, elk, etc., or waterfowl, or upland birds, etc., then you ought to research a little deeper. Different states certainly have different opportunities.