If you are conducting intrastate business in a particular state, then it usually best to form your limited liability entity in that state (or, if you are doing business in multiple states, then in one of the states you are doing business in). However, if your business is not conducting intrastate business in the state wherein you reside (or any other state), then you may wish to form an anonymous LLC in a state that not only provides anonymity, but also a very-low maintenance entity as well. For example, New Mexico and Missouri not only never ask who owns and/or manages an LLC, they require no annual reports; they are a ‘fire and forget’ entity, so to speak. As long as you have a valid resident agent in the state, you are good to go.
There are also states that have some laws which are more debtor-friendly and thus can be useful in the asset protection context. However, because LLC laws generally allow operating agreements to override most statutory provisions, a properly drafted operating agreement is far more critical to the success of an asset protection program than the state of a company’s formation.