Sweden have CFC rules to cover the fact if people set up companies in tax paradises.
More and more countries are adopting CFC rules to make sure to protect the incometaxes.
The question should not be where to live, but where to host a company that are trusted but still have low taxes. Malta are a popular place for both gambling companies and other companies. The taxes are low for international income. And if you decide to live there and work you pay normal tax.
I can tell you for sure that
sweden is not the right land to live in if you want to do this on the side. Of course i pay tax according to the rules, but it hurts. I pay about 64-70% in tax (since i have another job that pays decent) and for that money I get "nothing".