I'll play Armchair lawyer here for a few and give my 0.02 BTC

It all depends on the nature of your business and what you're trying to accomplish.
For 99% of things you may want to do, it's just easier to setup shop close to home, unless of course you're from the land of the repressed and home of the fearful.

For many things we have been doing with bitcoins in the USA, you would be running afoul of our lovely labyrinth of financial compliance laws that require you to either give all of your customers a financial rectal exam, or let the government will give you one, sans lube.

If you're in the states and need to protect yourself from your government, it's probably best to setup your core business outside the USA to deal with all non-USAians (notice that I don't say Americans, because let's face it folks, we stopped being real Americans the day we let the PATRIOT Act pass).

If you want to deal with folks stateside just setup an LLC in Wyoming and make sure you have a damned good lawyer do it properly for you.

Belize is great if you just need a nice friendly place to stick an entity that won't actually be doing business in belize.

New Zealand is alright from an "easy setup" perspective, but considering that the government there seems to LOVE being the USA's little b!tch lately; I don't think it's somewhere I would want to setup shop if there is ANY chance I could become a target.