http://www.nomoretax.eu/
Fairly good resource
Being in the EU or not has little difference as far as I know - its a national thing, nothing to do with the EU. So its based on where you are tax resident. The best place in Europe as far as I know is Monaco, but very expensive to set up there. Malta is a good option, they have a remittance based system of taxation with capital gains from outside Malta not taxed at all (at least according to that website above).
Get some solid professional tax advice though before making any moves.
