Put this together quickly, but it should be correct.
States that do not tax military retired pay:
ALABAMA
HAWAII
IDAHO
ILLINOIS
KANSAS
KENTUCKY
LOUISIANA
MASSACHUSETTS
MICHIGAN
MISSISSIPPI
NEW YORK
PENNSYLVANIA
States with partial exemptions:
ARKANSAS (1st $6000 not taxed)
COLORADO (1st $20,000 not taxed for age 55 and older)
DELAWARE (1st $2000 age 59 and under, 1st $3000 age 60 and over)
DISTRICT OF COLUMBIA (1st $3000 age 62 and older)
GEORGIA (1st $20,000 over age 62 and totally disabled)
INDIANA (1st $2000 age 60 and older)
IOWA (1st $10,000 married filing jointly, $5000 all others, age 55 and older)
MARYLAND (1st $2500 age 65 or older)
MISSOURI (some exemptions)
MONTANA (some exemptions)
NEW JERSEY (not taxed if age 62 or older)
NORTH CAROLINA (1st $4000 not taxed)
NORTH DAKOTA (some exemptions)
OHIO (some credits)
OKLAHOMA (1st $5000 not taxed)
OREGON (some exemptions)
SOUTH CAROLINA (some exemptions)
WEST VIRGINIA (1st $2000 not taxed)