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I’ve never noticed idolizing of Texas or Arizona for their weather. I hear Hawaii has mild summers compared to those states.
I’ve lived in both cold climates and hot climates. It’s pretty much the same, but the seasons are reversed. I.e. it’s very uncomfortable to spend too much time outdoors in winter in cold climates, and very uncomfortable in summer in hot climates.
Also, it’s more energy intensive to heat than it is to cool (at least with the most common HVAC systems). And warmer climates are more productive for food.
You still pay taxes in those states, just not income. Most people will pay more taxes in those states compared to places like California (not the rich, of course). Texas chose a system of sales taxes (state and local), which act like flat-taxes, which put more burden on lower income people.