In my humble opinion, in addition to taxes and cost of living stats, you should be asking, "How is the hunting and fishing compared to CA?" You can have low taxes but crappy hunting, although it seems that most states that have really good hunting have overall lower cost of living than CA. I've hunted AZ many, many times and what I like about it is that there is such a huge variety of hunting. Quail hunting there is perhaps the best in the US and it lasts for 4 months. Also very good waterfowl hunting, particularly on the Native American reservations and along the CO river. Elk, deer, bear, javalina, dove, rabbit---you can't beat it. You can also buy ammo at Walmart and nobody asks you any questions at all. LOTS of open space, not just desert, but mountains and grasslands. Our best friends in HI moved to an area just outside of Prescott 5 years ago and love it. He hunts everything and she is an avid hiker. They are absolutely in heaven.
Best of luck with your relocation.