The best answer is usually in the state where you intend to conduct most of your business or where you have an office or business presence. If you incorporate in a different state than the one where you are running most of your business, you will likely be required to apply to a foreign corporation (meaning from another state) in any other state where you work substantial business or have significant business contacts.
For example, if you incorporate in Nevada but your business office is in Oregon, and you do most of your business in Oregon, you will have to file and pay fees in Oregon as a foreign corporation doing business in Oregon, in addition to incorporating and paying fees in Nevada. The dual filing can be expensive and result in substantially more record-keeping, which may outweigh any potential advantages.
Some more giant corporations register as foreign corporations in every state, which is expensive and time-consuming for most smaller businesses. Occasionally, there is a valid reason for incorporating in a state different than where you conduct business. There may be some special tax or liability advantages in a particular state that are beneficial to your unique type of business.
You have more choices if you operate a business that provides its product or services everywhere, such as an internet-based business. However, if you do substantial business in any particular state, you may still be required to register as a foreign corporation.