Like others have mentioned, an important reason for me was the ability to leave the U.S. for long periods and return without a problem. A few months after my naturalization, I won a fellowship and moved to Europe for over 10 months, something that could have caused some difficulties as LPR.
Another minor reason which nobody mentioned is the recreational use of marijuana (the OP can relate to that as a Dutch citizen) - even if you live in a state where such use is legal, under federal immigration law it's still punishable, and could lead to deportation. While I'm hardly a heavy user, I'd like to have the freedom to do it without any legal ramifications.
Finally, regarding taxes: if you live abroad on a permanent basis, you can enjoy an annual exclusion of up to $112,000 (in 2022) from your foreign-earned income, and even if you earn more than that sum, you can use foreign tax credit on top of that. In addition, there are tax treaties between the U.S. and many countries to avoid dual taxing. So unless you make a boatload of money, you should be fine wherever you live.