I feel similarly about Sweden. But assuming one does pack up and leave, where would one go? Without doing any real research on it I would have hoped that France, with it's strong historical record on liberty, would be a reasonably good option within Europe, but it seems that may have been no more than wishful thinking on my part.
That is an extremely good question and one that I've spent considerable time and funds on trying to answer.
In short:
Nowhere. There isn't a country that does not have some critical flaw in their political system. If a country without such flaws were come into being it would not last because a country that would 'play nice' with its citizens and that would be efficient with its funds would be over-run by more aggressive neighbors unless it were heavily fortified by natural barriers.
The countries that come closest to this in the world today are Iceland and Switzerland.