I have only just started looking into this, but you may find you can open a company in Jersey or Isle of Man. I think you can do this remotely and get a bank account etc. Also if you are an EU citizen then you might want to try Ireland.
I'm sure you can appreciate why countries don't make it easy for non residents to do these things, and you may find it a lot easier to set up in your own home country until you can actually afford a presence in another country.