I can tell you the majority may hunt CO. but it is not because the hunting is better.
I hunted twice in New Mexico, and killed 2 Bulls. One was a 6X6 that scored over 300". I always seen tons of Elk and lots Bulls that were at least 5X5's, and these were not Big $$ hunts.
New Mexico may be a more expensive hunt, but you usually get what you pay for.
Arizona would be one of the best places to hunt but drawing a tag is really tough.
Dan