I honestly can't think of a single good thing about Mississippi, except Harry.
Strip club are rare and the few that exist probably suck due to regulation, prudery is horrendous and there is basically no indie scene whatsoever. It's the only state in the country I can't name a single band from and touring bands NEVER go there (seriously. I've seen many tour dates).
Mississippi is not nearly as prudish as you imagine. It has a larger gambling industry than any state other than Nevada. MS is just very rural and that brings its own set of problems. That said, MS is easily one of the worst states in the country, and I know this fact well as I live just about 10 miles from it.