But then I grew up, got some life experience, and learned that there are even worse things than taxes and regulation.
I'm pretty sure I don't want my community ruled by a local chieftain with rampant gang and tribal warfare, organized crime syndicates, protection rackets and an official religion.
You can see it happening right now when a state loses its monopoly on violence.
Not to mention 15th C Spain.
ISIS was a non-state actor that had the goal of creating a new state on the territory administered by some existing states, and has to some extent managed to do so as those existing states failed. The failure of a state in maintaining its "monopoly on violence" is almost inevitably followed by another state-like actor displacing it in that role -- there is no shortage of actors wishing to impose their will and no shortage of actors willing to use violence to do so in the absence of an actor with the resources and will to prevent them from doing so.