Another vote for CO here. There is absolutely every outdoor activity possible, plus the general public is the friendliest i've ever met. Our general cost of living is pretty reasonable, definately much cheaper than any of the coasts.
Plus it never hurts to live in a state where there is a big following of 'car buffs'. Like Jon said, more sunshine than any other state.
Sure, there are about 3-4 months of the year where its chilly and snows, but its nothing compared to where you are now, much drier and it melts by the next day, and the weather is back up to mid 60's.
some of the cheapest gas in the nation, which doesnt hurt when you drive a VX ;-)
"Do Not Seek Praise. Seek Criticism."
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-Paul Arden