Recession, Taxes, Location
It used to be "location, location, location" didn't it? It still is, but there are more and more factors to consider when you're picking that location. The effect of the recession on the immediate economy is one of the more obvious things to consider; the second-order effects of the recession on government income and services might not be so obvious, but in a sort of echo effect, it's becoming important even as the markets and investment communities are coming back to life again.
The fact that much of the US has transitioned to a service economy while many states have continued to rely on the taxation of sales of tangible goods for their primary income stream has not gone unnoticed in government circles. While this has resulted, in some quarters, in bizarre half-measures such as Orwellian redefinitions of tangible goods to include goods that are patently and obviously intangible, it's also prompting more aggressive and full-throated responses such as introducing additional taxes on certain sorts of services.
So you probably don't want to consider opening up a barber shop in Michigan right now, or a software development firm in Washington state.
The issue, and your considerations of it, will run much deeper than that, of course. Many entrepreneurs are heading for the Internet these days, a fact that also has not escaped notice by taxing authorities. States are becoming increasingly aggressive in attempting to establish so-called "nexus" requirements for businesses without a core presence in their states to force them to collect and pay taxes in those states. So you might think you are safe starting up a Nevada corporation for your online business, only to find that, because you use Godaddy for hosting, Arizona suddenly expects you to start paying up as well (I'm not aware of any efforts in Arizona to do such a thing; I just picked that example because I happen to know Godaddy has servers there). So you will have to dig deep for every facet of your business to uncover the ramifications as government becomes increasingly desperate to increase tax revenues.