For a residency position, you can switch to a new program on a J1 visa. There's no limitation to the state, you can go anywhere. There's no penalty. The only problem is that you can't have a gap of more than 30 days between your old program and your new program, else your visa expires and you are "out of status". More difficult is switching fields -- your J1 visa was created based upon the specialty field you're working in, and I don't know what the process (if any) for switching to a new field (i.e. do you need a new Statement of Need?).
It's not easy to switch programs on a visa, though.