Just staying where you are now seems like the best default option, unless you have a particular reason to believe you'll be better off elsewhere. What kind of business? My impression is that regulation varies quite a bit by type of business. For example, if you want to sell a new piece of hardware, some countries are nearly impossible, while others are somewhat easier. But if you just want to put up some webpages and make income from AdSense, most countries don't care much at all.