Incorporating a company has several benefits for small businesses, big business, and start ups. Each State in the United States has its own fee structures for incorporation and also rules and benefits of the companies that have been incorporated. These may differ from state to state. If the taxes are high in California, it can be low in Nevada and the difference in the amount can be huge.
While incorporating your business you should think about it from a long term perspective. Tax is something that you need to pay every year and if you think that the taxes for you are high in your home state whereas it is quite low in the neighboring state, then you might want to incorporate your business in the neighboring state. It is just a selfish motive for your business and legally it is allowed. The initial costs for you may be higher but the overall benefits may be much higher than the investment.
Some States have no property tax, and sales tax and in such States it makes more sense for a person to set up their incorporation. It is also good for investors as they will not be paying any tax on the shares and it is lucrative. However, this is a big conspiracy theory and one should check all the legal implications before taking such a decision. They should also discuss it with a local lawyer if need be. Doing something on half baked knowledge could be harmful for your business and always get information from the right authorities before you decide.