As rdp noted, a lot of departments do condense the testing/hiring process into a short period of time for out-of-state applicants but getting there is an expense many applicants must absorb on their own. Obviously, this can add up to a significant expense to an applicant who applies to several out-of-state agencies!
To my knowledge, being an out-of-state applicant does not give you an edge over anyone else. I am not aware of any departments who give someone extra points or anything like that simply because of this issue.
I would only suggest that you carefully choose and select the departments you want to work for out of state. And, I would select a limited number of departments you apply too (Unless you're independently wealthy!). It can likely be very expensive to fly/drive to just even one out-of-state department.
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Charlie
"Good and evil are present in this world, and between the two there can be no compromise" - President George W. Bush, in his farewell address to the nation.