This question is common enough that it is in our FAQ (although buying land and taking over an entire country are answered together - should fix that).  Adam from the Floatingman Island project, recently said:

A lot of bad things happen in the world, which means there are a lot of options for those who wish to make the world a better place.  And there are some consistent patterns to the badness which make some areas more fruitful than others for the advancement of humanity.  Arnold Kling writes:

My co-blogger cites the number of people murdered by Stalin as an example of government-caused harm that is very difficult for the private sector to top.