For winter we found Arizona to our liking .... and it's definitely not expensive. As it is in every state you have a wide range of prices. We like the state parks and the greater Phoenix area has some wonderful Maricopa county parks - huge sites, lush vegetation and awesome hiking. Arizona has sun just about every day - good for your soul!
Southern New Mexico is colder and windier than Arizona... and as to the comment on rough roads - ?? never found that to be true. New Mexico is great in spring and fall.
Texas - we've tried it a few times and it was damp and cold and windy. We enjoy hiking and Jeeping and you don't do that in Texas.
Southern California also has some nice areas if you stay away from the big cities.
Nevada is also too cold for winter and it's definitely not boring in spring and fall...lots to explore there.