Which state(s) are most tax advantageous for REI business?

[Jeff Boardman]

I could not find this question answered amongst the various forum topics to which I am privy.  Does anyone have any advice on tax advantaged states in which to start my business officially?  I am in the very early stages, I only have one property and have been operating essentially as a sole proprietorship without the official designation but as I expand I would like to change that.  I don't plan to have any physical presence and my business plan involves investing in multiple markets but the question remains, where can I officially open my business in the most tax efficient manner?  Thanks for your help BP!