We had WY as #1 and AZ as #2. The housing prices, for what we were lookig at, in Cheyenne increased over 30% in 3 years. A real estate agent summed it up, their economy never took a hit and the coal/oil/gas boom has sent prices skyrocketing. We caught the market in AZ as it was just starting to rebound, so price per sq ft was cheaper.
I think we will enjoy the winters better in AZ anyways and the dry heat doesnt bother us.