While many states do recognize legally-completed advance directives from other states, it is considered a best practice to have an advance directive for any state you commonly spend a lot of time in.
It is critical though that the advance directives reflect the same medical wishes and decisions. For example, if you live in Boston, but winter in Phoenix, you should ideally complete an advance directive for Massachusetts and Arizona. Honor My Decisions makes it easy for you to create advance directives legal in the states that are important to you while ensuring your decisions are the same in each of them.