Well, it depends if you want to operate legally or not...
![Cheesy](https://bitcointalk.org/Smileys/default/cheesy.gif)
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...
![Wink](https://bitcointalk.org/Smileys/default/wink.gif)
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!