I did kind of consider Montana for a short time. Living in interior Alaska right now and I don't really want to have harsh winters anymore. I know some people in the Helena area and they love it. Plus the land is still relatively cheap (at least that land that hasn't been sealed up by Ted Turner ;-)
If I wanted the long cold winters like I have now, I would consider that area. The mountainous region out in the western portion looks breathtaking in travel magazines I have looked at. However, I prefer the high desert for now (could always change)
Oz and NewZealand, I believe, would be tough to immigrate in, after you retire. They prefer people who are willing to work and pay taxes into their welfare system.