Why would Montana be terrible? Montana may be socially conservative, but it has a very strong "Leave people the fuck alone to do what they want" streak.
For example, if I remember correctly, when the 55mph speed limit was being forced on everybody, Montana simply abolished speed limits on the big roads. When the Feds got pissy about that, they simply dropped the speeding fines to something ridiculously low with no license points.
They only want to leave you alone if they approve of what you do. For instance, they still have very harsh penalties for simple possession of marijuana and even medical marijuana still faces heavy opposition from the state government (there's a ballot proposal to reduce some of the barriers currently in place). It'd be extremely risky for Burning Man to be held there, IMO.
Edit to add: this is from last year but gives some context: http://www.nbcnews.com/news/us-news/why-montana-going-backwa...
For example, if I remember correctly, when the 55mph speed limit was being forced on everybody, Montana simply abolished speed limits on the big roads. When the Feds got pissy about that, they simply dropped the speeding fines to something ridiculously low with no license points.