Well, just about all the little islands out there are claimed by one government or another, but their enforcement of laws vary widely. Even the ones owned by the US. You might be able to set up a ‘protectorate’ and have laws that are closer to what you want, without having to give up citizenship, and still enjoy at least the token protection of a larger nation.
Even if you whip up a floating island or sea platform in international waters, you’re going to want to make sure you’re friends with your neighbors, just so they let you in to get supplies and don’t annex it when you’re not looking. This will probably be conditional on following their laws, or worse, providing a spot where their wealthy elites can break the laws of their homelands…
There is also the issue of security. What’s to stop some jerk from sending a dozen guys with guns over to your little country and booting everyone out so they can live off your hard work? So you’ll need some military muscle, which doesn’t come cheap.
So I think the answer is to find a nation with a set of laws that you can tolerate, and move there. Most of them don’t take kindly to folks setting up enclaves, though, so once you’ve picked your pony, make sure you’re following the laws.