I've had great hunts in CO, ID, and AZ..been putting in for NM and UT for years and have yet to draw either. In my experience even the "worst" units in AZ are better than most other states so I'd for sure put my name in the hat there, and don't overlook the less desirable units where your odds are far better. If you don't draw you can always go OTC. I really like Idaho and would love to hunt Montana and Wyoming but it's an extra day driving each way which means 2 less hunting days so I usually end up in Colorado. Like Joe said, the key is finding areas where you can get away from the crowd. It can be done, it's just not always easy. Good Luck!