I moved to the United States *from* another country, so I can certainly help offer some perspective -- both from a financial point of view and in general.
1) Immigration. Most countries will not allow you to just move there unless you happen to be a citizen of that country. Most will allow for limited immigration, but there are usually lots of hoops to jump through and it can be expensive and time-consuming. And you may find you do not qualify to immigrate to a particular country. As you consider places to move, make sure to research the immigration laws of each candidate country.
2) Taxes. Moving abroad will escape WI taxes, but not US federal taxes — US citizens are taxed on worldwide income. This can lead to dual taxation; in a retirement context, for example, your new country may want to tax your social security income and any private retirement income you may receive. Tax treaties sometimes avoid dual taxation, and the IRS allows a foreign earned income exclusion, but only for a limited amount of income. Research the tax situation; other US expats in your destination country can be a good help.
3) Language. You can learn a foreign language fluently, but it takes time. There are some tropical countries where English is the official language; however, there are many where it's not. Spanish, French, Portuguese and Dutch are all official languages in various Caribbean nations, for example. I recommend learning the official language of your target country, and I recommend starting now, even if you're years away from actually moving.
4) Culture shock. Moving to a foreign country can be fun and exciting. But there will be things you miss about home, and there will be things that are just different. Sometimes, that has practical implications (e.g. different voltage forcing you to buy new appliances), sometimes it's little things (the local grocery store doesn't carry your favorite foods from back home), sometimes it's just plain weird little details (e.g. I replaced all the door knobs in my house with levers because I was used to door levers growing up in Europe.) Also, don't underestimate the impact of moving away from friends and family.
5) Credit cards. Even if this is the off-topic forum, yes, it's perfectly possible to maintain US credit card accounts, bank accounts and finances while living abroad. Even as a non-citizen, I had no problems doing so once I had a social security number. And in fact, I recommend doing it to facilitate moving back to the US should you ever desire to do so.
Finally, since your primary goals seem to be escaping WI taxes and moving somewhere warmer, I can't help but plug my adopted home state of Florida. We have no state income tax, our sales taxes are generally low (6% statewide; some counties add another percent or so to that) and we have sandy beaches and plenty of sunshine.