You go through your consulate to get the visa. Depending on the country and rules, you may be asked about your finacial viability.......meaning your ability to pay for your self while you're here. I believe New Zealand requires to see that you have $1mil in the bank if you want to permantly live there.
Anyway....every country is different so do your research to find out what the your consulate, and the US consulate, are going to expect. Like the DMV, if you have your story, paperwork and $ in order before you get there.....you'll be fine.
Regarding where to move, that's wide open. It's odd to me how 90% of blaster owners on this forum are from PA, 8% from Canada and 1% from all other spots around the globe 8-|. If it were me, I'd decide what type of climate suits me. Then do my research on which States and major cities have been doing okay through the ressession. If cash was very tight and/or I was going to live off of cash jobs....then I might look a little harder at States with no sales tax...then cities in said State that, again, are fairing okay through the past 5-10 years.
From there.......you don't necessarily have to live in the city, but big cities provide opportunity and so living somewhere near them can be an option.
Because of the economy down turn the past 5+ years, many more people are going to school in the US.....so schools are full. Schools also don't have much money for anything and tuitions have been climbing steeply and often in States & Cities that are running huge deficits.
So I guess what I'm saying is, choose wisely.