I'd caution against Montana. It's an absolutely awesome state and there's tons of good reasons to move there. But I think if fitness is the most important than most of it's going to be pretty disappointing. I've never looked into it, but I suspect that the stats are probably getting weighed pretty heavily by a few specific pockets focused on very specific things. In particular people whose jobs involve lots of exercise. While outside it things tend to be just as or often even worse with weight than elsewhere.