Anywhere with a fuss-free homeschooling statute.

As the children grow older, it's a good idea to look for a place with strong advanced curricula for secondary school students, such as UMTYMP

http://www.math.umn.edu/itcep/umtymp/

and PSEO

http://www.ohe.state.mn.us/mPg.cfm?pageID=797

in Minnesota, the PSEO clones Running Start

http://www.k12.wa.us/runningstart/default.aspx

in Washington State, Youth Options

http://dpi.wi.gov/youthoptions/youthop1.html

in Wisconsin, or other similarly named programs in a few other states. Especially cool is to have an explicit high school for the gifted such as Montgomery Blair

http://www.mbhs.edu/

in Maryland or Thomas Jefferson High School for Science and Technology

http://www.tjhsst.edu/

in Virginia or one of the several state "governor's schools" for highly gifted learners. Some families move to Reno, Nevada for the Davidson Academy of Nevada

http://www.davidsonacademy.unr.edu/

but so far I haven't tried it.