In Europe, Monaco (very tough to get citizenship, but residency is possible if you can prove sufficient, legally obtained financial means), Switzerland, Cyprus are decent. Monaco has zero income/capital gains taxes. Switzerland has a flat tax regime for foreigners that has to be negotiated individually by the country you wish to live in. Cyprus is an EU country with a relatively low tax rate.
Obviously, Monaco and Switzerland are heads and shoulders above Cyprus in terms of quality of life, but also in price.
If one can obtain a non US citizenship, the UK and Ireland are attractive on the "non-dom" remittance basis tax regime for foreigners. Google has more info.