If you are in an area where housing is in high demand and prices are in high demand, but the short-term rental outlook is average, it will be hard to make money there.
This ability to cherry-pick a market for your specific needs is what makes investing out of state so desirable. Are you more interested in appreciation than cash flow? Then maybe a tier-one beach destination would perform well for you.
From a purely financial perspective, you will want to choose a market with strong rental demand, low demand for property, and good prospects for property price and rental demand growth.