We built a house in WY and moved here when I retired from the military. We have been coming out here for 25 years as my wife is from here.
Pros: No state income tax, reasonable property taxes, lots of public land in many areas, low humidity.
Cons: Wind! Long winters and cold. Extremely expensive housing compared to where we came from. Everything is more expensive compared to the midwest by a large margin: Food, gas, restaurants, etc.
Lack of jobs if you are still working age. Limited availability on the housing market.
The hunting has taken a serious downturn the past 20 years, even moreso during the past 5 years. Over crowding- too many tag allocations, drought and in some areas, disease has taken a toll on game nimbers and hunt quality. I thought I new what crowded public land hunting was in Missouri, but WY has it beat five-fold!