I can give you some input as I just recently did this a year ago at 22 years old.
Depending on what you are going into, like stated above its good to have some connections, but not always necessary. Its best to study demographics of the areas you want to go, and the amenities the area can serve you and your future. Before you make a leap of faith, I highly suggest taking a week or two and scoping out the area to make sure you can see yourself residing there, along with figuring out the cost of living compared to what you expect to make annually.
As far as landing my job, I worked as a CNC Setup/programmer back in Michigan and basically utilized my resume to my advantage and just started browsing out of state listings in areas that I thought would be fitting for what I would like. Depending on your line of work, there are jobs everywhere, and if you find something out of state, you will more than likely be engaged in numerous phone conferences with these companies to figure out if you are fitting for their needs (and a lot will even pay to relocate you, as well).
Just do your research on everything. If you have a family, check out local school districts, check out surrounding areas (good & bad), and things of the like. If you don't have a family but will want to build one, take this into consideration as well. A lot of little things to make the transition that much easier and more rewarding.
As far as your address being different will not improve or deter people from hiring you out of state. People who are looking to hire, are looking to hire for all the right reasons, IE: your qualifications for the desired position, not where you reside.
Hope this helps!