I'm a Belgian working in Belgium. So my only option is to pay Belgian Taxes. But with my incorporation I can optimize a little bit. But in the end I pay a lot of taxes ;)

But If I would go to work in Germany or any other Shengen country I could optimize better.

Now for an American you first need to get a work permit: http://www.associatedcontent.com/article/234826/how_to_move_...

Then your options are open: all tax free places are possible to start your company. You can google for these places.