Just to clarify, you get the tax benefit from moving, not from setting up a C-corp, and you have to live in the state to get the tax free benefit, not just have a C-corp there. You'll generally get no benefit from setting up a C-corp and you will face double taxation so there's generally a loss there. You may be thinking you can set up a C-corp in a state you plan to move to eventually and dividend yourself back the profits then to avoid state tax. If so keep in mind that if you live in a different state than your company is incorporated in you'll have to register as a foreign Corp in the state you live in. The Corp will then have to pay most if not all of your home state's corporate income tax under a 3 factor test.
I realized it was too complicated to just set up the C corp in a no corporate tax state. I realize that the C corp will be giving me dividends and salary and I would then have to pay local income tax on it!