Unwilling to uproot? Consider what other superrich have done: set up corporations in places like Nevada, move stocks and bonds into them, and earn capital gains, interest, and dividends free of state tax.

To obtain proceeds, "this is where you push the envelope—borrow money from the corporation," says Jeff Schnepper, a columnist for MSN Money and author of the bestseller, How to Pay Zero Taxes.

"If you borrow the money, you don't pay tax," Schnepper said. "If you owe money to the corporation, so what? You're owing the money to yourself."

As an added benefit, the money owed to these corporations can be used to offset estate taxes.

"If you really want to be sneaky, move to a place like Florida or Texas or Nevada, spend a year in that state, take all that money out of the corporation and then you can move back to wherever you want to go," Schnepper said. "You're playing a game with the state tax. Sophisticated people are doing it."

But beware of pushing the envelope too far.

Francis, the nudie-video mogul, faces federal tax-fraud charges over allegedly falsifying business expenses and hiding profits in offshore accounts.

PeopleSoft co-founder Duffield had to pay California $19 million after being accused of shifting stocks into a Nevada company to evade taxes. He's now suing the state for a refund.

"Just because you leave the state, the tax authorities sometimes will fight," says Peguero, whose colleagues at Price Waterhouse—the predecessor to PricewaterhouseCoopers—advised Duffield. "The presumption is it's for tax avoidance."

For some, the moving and hassles just aren't worth it. One of Peguero clients recently decided to leave the tax haven of Hong Kong for high-tax New York City. The client told him: "I love the Upper East Side."

"You want to be happy in life," Peguero says. "It's not all about taxes."