I would like more specifics, though I'm not going to be a tool asking you.
In MA:
(1) Gun laws are ridiculous. Not worst in the nation IMO, but certainly in the bottom five. You want that Kimber .45 that is fully parts-interchangeable with the Para 1911? Sorry; those aren't approved for sale here! You want to remove that front sight from your Bushmaster and replace it with an aftermarket gas block with a flip-up front sight? Sorry; you have a pinned muzzle brake, because for some reason threaded muzzles are too dangerous! Dumbasses.
(2) Housing is way too expensive, mostly because of local zoning ordinances that restrict the density of housing. I'd love to live within a walk or a 10-15 minute T ride from where I work, for instance, but I'm not going to pay $500K for a 1400 square foot condo: it just ain't gonna happen. And there's no reason for it to be that way except for the artificial scarcity of housing within the Cambridge/Somerville/Boston/Arlington city limits.
(3) Local government is openly corrupt. Virtually every politically-connected demographicâ"the unions, the politicians, cops, large corporations, and many of the rich local property ownersâ"colludes to transfer wealth from everyone else to themselves. Taxes don't primarily go toward public goods and common services. My total tax burden is roughly 50% than it would be were I living in NH, and yet the roads in MA (for instance) are absolute shite. I've already had to replace one $500 rim from striking a huge pothole at night this year. While it's perfectly rational that things would work this way under a democracy, there's no excuse for it when there's so much waste, fraud, and pork to remove from the budget.
(4) 12% short term capital gains tax. OMFG. That alone cost me a huge amount of money over the past two years.
That's just what I can think of off the top of my head.
The downsides to NH from friends seem to be (a) the state-owned liquor stores have a generally poor selection, though they can order what you want; (b) getting zoning approval for houses outside of established neighborhoods is a PITA because they require you to upgrade the road if it isn't class V or better; (c) property taxes are generally higher than in MA. In return, they get a part-time legislature; generally more responsive local government; less local- and state-level corruption; less sprawl and more natural areas; better roads; and lower overall taxes.