I made that choice. I picked Northern Minnesota, after considering others, including my home state of Georgia.
Anyplace has its plusses and minuses. Here, the initial cost of real estate was low, property taxes low and if I want to shoot on a range, I walk out my door to the range I have. Minuses are a long, hard winter (most years I get a few days of 35 below or colder. One year I saw -54, and that ain't wind chill.), poor job market and long trips to do any major shopping. Duluth is the closest urban center and that's over 100 miles of driving, each way.
If you move, make sure that you can support yourself for at least a year, without a job. Sometimes jobs can be had, but the periods are brief. I was an EE my whole working life, not much call for that here, so I had to do some stopgap work until I could make a farm start paying. That sort of situation can make for some lean years, but, for me, it was worth it.
If the population in my area of NY hadn't mushroomed, and the taxes been a little lower, I'd still be there I've had regrets, but the positives have outweighed the negatives.
DC