First and foremost, you must know that incorporating (and by "incorporating," I mean creation of any corporate-type entity, including corporation, LLC, limited partnership) in a state other than the state in which you do your principal business does nothing to protect you from the taxes for your home state, or any other state in which you actively do business.
If New York is your home, your corporate entity will be required to provide the full reporting, and payment of taxes, to New York State and whatever other taxing entities (such as New York City) may apply; these will be in addition to mandatory tax reporting in the home state of the corporate entity. The cost and complication will quickly add up.
Many people labor under the mistaken impression that they can avoid taxation in their home state, by incorporating in another state (most frequently, Delaware or Nevada), and this is simply bunk. I note with encouragement that, from your original post, it does not appear you are trying to evade taxes, but rather, to find the state in which the cost and burden of incorporating is the least. I believe you'll find that, after consulting with tax and legal professionals (a wise choice), after factoring in the cost of "domesticating" your entity in your home state, your savings may be illusory.
I will strongly urge that you get counsel from qualified professionals, both for taking any action. I strongly discourage the use of on-line "self-help" incorporating services; I have had a number of clients for whom substantial (and costly) corrective measures were required, because they "saved money" by incorporating with some Internet -- based incorporating service company. Even those services which purport to provide assistance from counsel, are simply referring you to lawyers who have paid to be in their referral pool. Choose your professionals by references from satisfied clients, not by random referrals from an Internet business.
As always, the foregoing does not constitute legal advice, but rather, is random stuff you read on the Internet. A little money spent today, consulting with knowledgeable professionals, will help you to build a solid foundation upon which to build your successful business, and I wish you the greatest success in so doing.
...three miles from BRONS, clear for the ILS one five approach...