The reason I am comfortable investing out of state is because I am only passively investing in syndications, which means I have no role in the operations anyway. The important thing is that the people in charge are qualified people that I trust, and they have their own money invested in the deal too. There are many on this site who have invested in their own properties out of state (as opposed to syndications). Some have horror stories, and others have had success. The important thing is to make sure you have a good team working locally, and be ready to replace anyone who is not performing.
Oh, I own one property myself that is out of state, but in that case I have a family member who also owns rentals who looks after it for me. I prefer not to buy any more because I would rather not manage from afar, and there aren't great opportunities in that market either.