Hmm. I think it depends on whether or not you have to work. If you have to work, any tax savings from moving will likely be offset by lower income. If you already have a large amount of capital, cultural differences might end up being more important than the savings. For instance US -> France is a big lifestyle change. Some people might not feel comfortable in a new place, even with more desireable taxes or benefits.
But I guess if you really wanted to move, intra-EU might be practical due to (presumed) ease in getting visas. Otherwise, many developing countries are receptive to immigrants from Western countries. I don’t know if you can get citizenship, but at least you can live there. Lots of them speak English too - because of that whole deal with Britain conquering everyone at one point.