It really depends on the music that you're doing. As for places with a killer folk scene...er. I'm at a loss :) Seattle? Heh. Maybe Nashville/Memphis, or Austin. Haven't done any of these yet.
Any of the big spots (NYC, LA, Nash/Memphis) are all about having the full package, and getting to know the right people. If you can do that, you win.
Phoenix (AZ in general) = no. Don't do it. It's good for blues/rock cover bands and resort gigs. Everything's too spread out, hard to find dedicated musicians. Anyone who's really serious about making it in "commercial" music (read: label/touring) out here ends up in LA, so might as well skip it.
If you can afford it, save up, throw a bunch of gas in your car, and cruise around. Or find a friend who works for an airline, beg them to get on their buddy pass, and fly around checking out scenes. It'd be well worth it.
My $.02
-johnl