I lived all over the inter-mountain west. The states with the best gun laws would be Arizona and Wyoming. However, Nevada, Idaho, Utah, and Colorado aren't bad, either. Much better than just about anything in the east.
Obviously, all of these states have desert. The last place I lived was Rexburg, Idaho... city of about 30,000, college town (BYU-Idaho), and surrounded by just about nothing. I'd drive about 5 miles west of town and it's largely unfenced, untamed desert. I'd shoot there all day long... good 4-wheeling, etc. The terrain was awesome, too. Idaho Falls is about 30 mins south of Rexburg and is a larger city (60,000), also surrounded by good shooting. An hour south of Idaho Falls is Pocatello. Pocatello always reminded me more of an east coast city, about 50,000, older railroad town. Still nice, about an hour from Utah.
If you're more interested in urban/semi-urban, Salt Lake is nice... Don't have to drive too far for what you want. But, SLC is also pricey... economy is as strong as anywhere currently in this country.
I also lived in Phoenix... hit pretty hard economically. That would be a completely different experience. The city is large, yes, but you have at least an hour of suburbs in any direction. LOL... It's bizarre. Cheaper than SLC because of the poor economy.
Spent time in central Nevada, too. NOTHINGNESS. LOL... Almost all of Wyoming is just like Nevada. Cheyenne, Wyoming, Rock Springs, etc, offer glimpses of civilization if you so desire.
Don't know much about Colorado, Montana, or New Mexico.