LAST EDITED ON Oct-26-13 AT 12:06PM (MST)[p]Hirsch, you don't say how old you are, or what your budget is, and those two things can affect what a good strategy might be.
That said, here is what I've done. I've been playing the points game in most western states for quite a few years, both for my son and self. I'm 54 and my son will be 26 next month. To date, we've drawn some really good tags including: Arizona Kaibab 12AE late deer (son, with 9 points), Arizona 5BS muzzleloader bull (son, with 5 points), Arizona 9 late rifle bull (me), Wyoming 4 moose (me), Utah Monroe LE elk and youth any bull, California Lassen and Nevada 041 antelope (son) and this year I drew one of the best Nevada rifle elk tags. We've drawn other really nice tags, but those are some of the highlights. I started applying my son in most states with a point system as soon as he was old enough, so he has lots of points in most states.
At first, it can seem like you'll never draw, but persistence pays off. In the next five years my son and/or I fully expect to draw Wyoming moose in one of the top 2 units (son), Arizona strip deer (me), Utah LE elk (son), Arizona archery elk in top unit (me), Arizona antelope (both), Deer, elk and maybe antelope in Oregon (both), and have a darn good shot at more tags. In 5-7 years, we will both be in the max points group for Wyoming bighorn.
The point I'm trying to make with the above illustration is that it takes time and some investment, but if you put in for multiple states each and every year, you'll draw lots of good tags in due time. Of course, it does cost some money each year.
I believe the key is, after understanding each state's system, is to apply in as many states as you can afford, for the species you're interested in hunting. Nevada has a great system, as bonus points are weighted. Arizona is tough to draw the very best hunts, but there are a lot of 2nd tier hunts that are still great hunts. Oregon is a preference point state that gives out very few non-resident tags, so you may decide to skip that state. A lot of guys like Colorado, but with point creep it is almost impossible to draw a tag for a premium unit for late deer or early elk given that you're just starting out. Colorado still has tons of good hunts for deer and elk that you can draw every few years. California is a sleeper state, so if you live here you have to apply. There are some very good deer shot every year (a buddy of mine just shot an X zone buck that grosses over 200" by a fair bit), and our antelope, elk and desert sheep hunting can be excellent. Wyoming is a preference point state where you can draw nice deer, elk, antelope tags every few years, though you'll likely need 30+ years to get preference in bighorn sheep drawings. Moose is realistic in around 10 years in most units.
If I were starting out today, I'd figure out what species I want and I'd apply in Nevada, Wyoming, Arizona, Utah, California, Colorado. Idaho and New Mexico do not have point systems so everyone is on equal footing each year, so they also have a lot of merit. Montana is also very much worth applying in, and you can get a deer/elk combo license most years.