America’s Best Places for Artists

Los Angeles
Santa Fe, N.M.
Carson City, Nev.
New York City
Kingston, N.Y.
Oxnard-Thousand Oaks-Ventura, Calif.
Nashville
Boulder, Colo.
San Francisco
Nassau-Suffolk County, N.Y.

But check out the Creative Class Heat Map.

Looking at this, the answer must be "go east, young man".