If I had to choose between making millions per year in NYC or making 40K living in BFE, I'd take NYC, invest like crazy and retire early - I can put up with some minor inconveniences for that; others might disagree.
If you have enough money -- like Bloomberg, you can have more than one residence -- like Bloomberg, whose "real" home isn't even in the US, it's in Bermuda.
http://www.nytimes.com/2010/04/26/nyregion/26bermuda.html?pagewanted=all
There are plenty of excellent reasons to stay away states like New York, but I'd put "taxes" much higher on my list than its awful firearms laws. BTW, I can't think of any states that are tax-friendly that are also 2A unfriendly. Are there any?
People do have more than one home, and one home can be in New York and the other in a more tax-friendly, and gun friendly state.