Bobo:
I have recently moved to Nevada from New Mexico, so I can offer some perspective on those two states.
Nevada doesn't have state income tax, which is good. New Mexico does, but it is fairly low. Both states are very gun friendly, though Nevada Highway Patrol requires gun stores to route background checks through them, and charges $25 for the priviledge, whereas New Mexico allows gun stores to call the FBI themselves.
New Mexico has a fairly poor economy, so there is generally pretty high unemployment, meaning lots of available workers, and the Albuquerque community college actually turns out very good welders and machinists.
Mr. Sistema mentioned the Gross Reciepts Tax in NM, but having worked as a contractor, all that has ever meant to me is that you have to collect sales tax. The rate is pretty low. Albuquerque only has 5.8% sales tax. It is possible that there is something he knows that I don't, however, as I hardly claim to be a tax expert.
Nevada (or at least Las Vegas / Clark County) just overall seems to have more laws, regulations, and restrictions than New Mexico does. Don't do this. You must do this. There is $X fee for this, that, and the other thing. Fill out this paperwork. Stand in that line. Blah blah blah.
Clark County requires handguns to be registered.
The climate in Las Vegas is both hotter and drier than Albuquerque. That's either a feature or a bug, depending on your perspective. Housing, and other property, are a lot more expensive in Las Vegas than Albuquerque. Personally, I feel the city is laid out atrociously, and the traffic is nuts.
(Ok, so this is turning into "Why I don't like having moved to Las Vegas" but I'm trying to give objective reasoning.)
In general I feel that New Mexico is freer than Nevada. Both states are straight across the board NFA states, but due to the generally poorer people in New Mexico, such firearms are less common than in Nevada.
Also, while Arizona has done well in spite of it, from a "regulatory" point of view, Nevada is just too darn close to California.
My girl and I are moving back to New Mexico as soon as we can.
-Ogre