Here's a scholarly paper on relative individual freedom among the 50 states. Caution, big pdf file, 60+ pages. The basic tables are on pages 11 and 12, the summary table is on page 19.
Colorado finishes second overall to New Hampshire, although the authors note that recent changes in the political climate there will likely cause its rating to drop. A blogger I read from NH curses the influx of Massachusetts tax refugees who move there fleeing excessive taxes, and then vote to raise the local taxes.
This might give Colorado a shot at first place, but having recently become a blue state, I imagine we'll be sliding down the list ourselves pretty shortly.
Anyway, the top 5 are:
1. New Hampshire
The rogues gallery is the usual suspects:
48. Rhode Island
49. New Jersey
50. New York
The whole thing is worth at least a quick perusal with some interesting insights as to how the methodology was used.
Bonus: Guess which states will be losing representatives after the next census unless Chicago rules for counting the populations are applied?