At a state level, Nevada, where I live, is ranked third by the Tax Foundation in "state business tax climate" for 2013, and conversely 47th in tax collected per person. We have no corporate income tax, no personal state income tax. We ranked 46th in federal aid in 2011 (same source), so it's not like Nevada is a "donor" state.
So, free of all of those taxes, Nevada's unemployment rates should be pretty good, because taxes are the worst thing for a regional economy, right? Except, in August, the state had the highest unemployment rate in the nation according to the BLS.
Yes, there are other factors besides taxation. There is regulation, of course, but it doesn't seem that much worse here than in California where I used to live. We have the double whammy of underfunded schools with a very strong teachers union, which pretty makes any improvement in education impossible. Our state legislature meets only every two years, and seems to function about on par with our federal legislature, so getting anything done from a legislative perspective is difficult. It gets really hot here about 1/3 of the year (although not much in the way of earthquakes, tornadoes, hurricanes, etc. - pick your poison I guess)
In my case, I was drawn to Nevada by the low taxation, but businesses are not crashing the boarders. Taxation is not everything. There is a balance to be had between taxes and other quality of life factors, some of which you need government actively involved with. Education, infrastructure, utility price stability also count.