Efficient market theory suggests that to the extent people are free to move within the US, all locations should become equally desirable on net (accounting for costs and benefits). Thus, if you want the most monetarily advantageous place, you would look for places that are undesirable on non-monetary criteria: places with some combination of bad weather, long commutes, high crime, little access to culture or recreation, etc. (Of course some of these have monetary effects, like heating/cooling costs, transportation costs, or losses to property crime, but they also have non-monetary effects on well-being.) In theory, the difference between salaries and cost of living would have to be higher in these areas to incentivize people to stay -- in effect, they earn a bonus for putting up with an unpleasant environment.
Now, while there is some truth to this, it is not reality because people are often tied to a given place for personal non-monetary reasons like friends and family. This means they get a "bonus" that a random person moving there will not get. Thus, when some people are "captives" of their town, salaries do not have to be as high to make up for an objectively less pleasant environment. However, you are still likely get some net monetary benefit from living in a swamp or a run-down neighborhood where costs are lower. And this is especially so if you "bring your own income" as a teleworker or a retiree. In that case you're simply minimizing living costs without regard to local salaries -- see here.
