State vs private sector

I am a Psychiatric Nurse in a state operated facility, with 12 years of service. I have never worked in the private sector, but was approached today with an opportunity for a change over to a private sector job several states away. What questions do I need to be asking during this process? Are there any red flags to be looking for? What experiences have others had-good or bad?
Your question is a bit vague... Have you been thinking about leaving your current job or were you blind-sided with an offer that sounds too good to be true?
The opportunity came out of the blue from a former director. Right now it is just in the informational stage. I wasn't seeking a change, but am intrigued & open to conversations.
I think that the questions you need to be asking relate to what is important to you in your career-- is it pay, benefits, training in a new area, job security, opportunities for advancement? Is the job with an established company that you can research information about for yourself?I have never worked for the state, but it is hard for me to imagine leaving a state job after twelve years (with the benefits and job security that a seniority based system entails) to move out of state for the unknown... unless you are ready for major change in your personal life and career and are willing to accept an element of risk.
Thanks Jenny!