I know Arizona is big for retirement. Mild weather, low taxes, lots of outdoor leisure activities like golf.

Colorado has a diversifying economy that was driven in the '90s by tech/telecommunications and today by the energy boom. It also has a lot of federal jobs. The cost of living isn't great compared to its neighbors, but the outdoors lifestyle is certainly a draw too. (Source: My family was among the 1 million people who moved to Colorado in the 1990s)

Seems we a lot of people coming here from Canada. Not sure if they're permanent residents, or just snowbirds. Ontario plates are pretty common (as are Illinois).