http://probballreport.com/the-myth-american-athletes-pay-more-tax-in-toronto-blown-away/
This story addresses the myth that you pay a crazy more amount of income tax in Canada versus the US.
There are certain States where there is a definite income tax saving advantage. There are also different tax rates in each province. It most definitely is not like it used to be though. Arizona is notably one of the lowest, along with Florida, I believe.