I've half-heartedly looked at Australia and New Zealand. Many parts of Europe are also appealing, as are Chile and Canada. Though between finding employment, language barriers, and the logistics of moving my whole family, leaving is an intimidating proposition. It's much easier to live in a blue state and work to keep my corner of the country a decent place.
The people I know who left the US either did it as students or they married foreigners. Either of those paths tend to make the initial visa process soooo much easier.