What kind of business do you have? I moved a small technology business last year myself. Most of our dealings are "online" so it wasn't too terrible. I did have to kill off another locally focused business, but I had sort of killed two of its operations in two others states off already through semi-intentional neglect (Ie didn't have time to run them properly). What remained in our New Jersey operation I put a nail in the coffin on. That was so we could move. It actually didn't end so terribly. I pretty much just passed on the remaining NJ customers to a to-be-ex-employee.
Best decision ever- been here almost a year now. The most challenging part of getting out of New Jersey for me was down to a recent house purchase I had made.
I can recommend Mark Warden's Porcupine Real Estate business if you are looking to buy up here. I used them and they were great. I think he might do more than just real estate purchases if you decide to rent too.