The Principality of Sealand

This isn't my idea at all, but it's still a pretty cool (though quite wacky) idea- create a new sovereign country for yourself and become a data haven. If you have read Cryptonomicon, you'll be familiar with the concept. (If you haven't read Cryptonomicon, you really should.)

The Principality of Sealand is a (debatedly) sovereign nation on an abandoned oil rig. It's been around for over twenty years and has survived a battle with the British Navy, a terrorist takeover, and more than a few storms. Recently, they've worked with HavenCo to become a secure autonomous data-haven. ThePirateBay considered moving their servers to Sealand at one point after getting raided by the Swedish government. I don't know how serious it was, but the Pirate Bay home page had a modified Sealand silhouette logo for a while. Earlier this month, Sealand launched its own online casino. Not that I approve of that sort of thing.

You can read all about the colorful history of this unique nation and its various modern enterprises at http://www.sealandgov.org/