I'm not sure moving elsewhere is necessarily an answer if you mostly like where you live, but simply hate the taxes. That pretty much sums up my situation anyway. Yes, NYS and NYC stink as far as taxes go, and yes, there's a ridiculous amount of waste and fraud. Medicaid is the worst culprit, and from what I understand it's the primary source of California's budget woes as well.
The thing many overlook is that you can run, but you can't hide. Sooner or later all 50 states will experience budget issues just as bad as those in CA or NY or NJ. And when that happens, you'll see higher tax rates. You'll also see income or sales taxes in states which currently don't have them. In the scheme of things state and local taxes are a small hit compared to what the Feds take. Federal income tax is generally about 3 times the combined total of NYC and NYS income taxes. And FICA tax is 15.3% of every dollar you make. You can't avoid either except by moving out of the country. And most countries have way higher tax rates than the US.
What you have to ask really is not what you're paying, but are you getting you money's worth? True that there are states with no income or sales tax. Also true that in most of those states you have little in the way services. Don't have a car or license? Then forget about traveling. Lost your job? If you qualify for unemployment benefits at all, they will likely be way less than in a higher tax state. Need the police or fire department? Well, they'll get there when they get there. Not saying this is always the case, but comparing notes with some out-of-state relatives it seems to be the norm. Less taxes = less services. If you can do without the services, wonderful, but that's not the case for many others.
I can't comment on whether the taxes in CA are worth it or not as I don't live there. I do feel NYers as a whole overpay for the services they get. We may have the best public transit system in the nation, but our roads are in disrepair, our schools aren't that great, and we waste tons of money. That being said, I'm not sure I would get a better bargain anywhere else, and I mostly like where I live. My only advice is try to save for a house. Besides getting back your tax deduction, you'll avoid the prospects of annual rent increases.