There are definitely factors other than salary that will go into play when you decide this (like the type of weather you prefer), but I've done some research to see where physicians are paid the most. On average, the highest paying states for doctors are South Dakota (~$290,000), Wyoming (~$275,000), and New Mexico (~$265,000).
This is a question only you can answer. Think about the things you enjoy most? What makes you happy? Do your research on whatever state you feel you are most interested in.