Well, it depends if you want to operate legally or not...
If you want to operate legally, the hurdles are very high in almost all countries. The worst choice is certainly the U.S., because it is full of control-freak politicians. So Europe or Asia will be a much better choice. I've read positive reports of the so-called "regulation" (read: restriction) landscape for the Isle of Man, Switzerland, and Liechtenstein. At least these countries won't jail you for a lifetime if you check a wrong box on a 100+ page registration form...
If you ask me, consider a different form of Bitcoin business, because exchanges are the most risky of all. In addition to the regulatory risk, you will be the prime target for hackers.
A Bitcoin business that sells virtual or physical goods is a much safer option. In my opinion the Bitcoin economy also needs more real (non-financial) businesses... especially from the primary sector.
ya.ya.yo!