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I'd recommend these options:
1. Setup a presence in Monaco for tax-free status, but actually live outside Monaco borders in southern France, much cheaper. Or something similar with Andorra if you like skiing.
2. Dubai - a warm place during winters, but you have to use encryption for hard drives and internet connection to avoid trouble. Though the tax-free zone is completely different rules from rest of Dubai.
3. Caribbean Islands - tax-free, very inexpensive, safe. Or Mexico/Belize like someone suggested, but away from the border area.
All of these options "work" equally well, I'd recommend traveling and trying each to see what you like most.
Being in our business and permanently living in a taxed or "low"-taxed country is not smart - tax-free all the way!
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