There's no way to answer the OP's question without knowing more facts. Asking for recommendations for places to live "out west" is about like asking for suggestions on places to live east of the Mississippi River. Newark, NJ, Charlottesville, VA, Macon, GA, and Miami, FL are all in the east, but that's about the only thing they have in common.
What are your favorite activities, what is your cold tolerance, what are your politics, what are your expectations for housing, and what are your finances? Your answers to those questions help determine if you are more suited to Jackson Hole, WY or Albuquerque, NM or any of the other towns in between.
But one piece of advice I can give is to stay the heck away from Montana. Pick Wyoming, Colorado, Utah, North Dakota or anywhere else. But whatever you do, don't move to Montana. It's full here and you probably wouldn't like it anyway. (tongue in cheek)