I'd suggest United States.
Trying to be sneaky will just make you look suspicious and attract attention. It is much simpler to simply get those permissions and pass those inspections. You might need to fudge some details like just who will have control of whatever you wish to build when it is ready, when exactly will it be ready, and what exactly can it do. But if you have a legit government contract to build an experimental prototype of something very close to what you actually want, fudging the details a little shouldn't be that hard. Experimentals never quite match the original plan, anyway.
I can't really be specific without knowing what it is you wish to build, but here are some benefits of staying domestic and legit.
No travel. Obvious, but probably more useful than you'd think. Thanks to terrorists various governments are actually paying attention to people travelling to remote locations and spending lots of money there. And while I don't want to go to irrelevant politics, the US doesn't really have the best reputation at the moment overseas. In most locations suggested the locals would be very suspicious of the American with all the armed guards and heavy logistics. Not necessarily enough to cause trouble, but it would attract attention from people whose job it is to be suspicious.
Improved security. The US government would help you keep things you want to keep secret stay so. A legit project useful to your needs would probably be classified. So while you would still need to obey regulations and pass inspections, compliance would be overseen by people who already know and accept what you are pretending to do. As long what you want to do and what you pretend to do are roughly similar with similar basic requirements, this removes the issue of somebody accidentally stumbling on the truth. It would take an expert looking at the details to tell the difference. And experts are valuable, details easy to obscure. If it is something exotic, all experts good enough to expose you might already work for you...
Government resources. The government could provide staff like physical security (why hire armed thugs, when you can ask for soldiers to protect the facility?), background checks of personnel, and facilities and personnel for testing prototypes. Access to computing resources for simulations and experts useful for debugging any possible technical issues would also be much easier. And depending on what you want to build government would probably foot part of the bill. It is probably easier to get government contract if you make it cheap for them, but money is money.
Easier logistics. Removing or reducing the need for remoteness, makes people and supplies easier and cheaper to get there. And having a government contract makes getting any restricted materials and components much easier and cheaper. Even more importantly, it makes you much less likely to come to the attention of people whose job it is to make sure restricted materials and technologies do not get into wrong places.
Getting caught hurts less. As Lohoris pointed out in a comment what happens if you get discovered is different as well. He presented that as a downside, but potentially getting arrested and having a more or less fair trial in a country where you have strong political connections that can affect the interpretation of your actions is preferable to a highly secure location that can only be neutralized as a threat using air strikes or commando raids. At least if you value staying alive and your project is a serious threat to national security of one or more major powers. The US might do a strike from a carrier or allied base anywhere in the world if threat is real. Countries like Russia, Israel, China and even France and United Kingdom would strike a serious threat if it was within convenient reach. Or at least inform somebody who can reach it.
Seriously, hiding in plain sight is almost always the best policy when you want to do something complex discreetly. It might be different for your particular villain, he might need to use a front man if he is too notorious to get a government contract, or your particular project, but in general it is easier to camouflage something as legit than it is to hide it. Especially if it is something large and complex. And involves "red flag" suspicious things such as much of weapons technology.
