Yes. The city I live in - Vancouver - is expensive.
Here's a list of places I would rather live, if only I had the money, inclination or drive to move.
Narnia - Why? Talking lions and Christian allegory.
Newfoundland - Why? Family and the mandatory minimum fish wage.
Hobbiton - Why? Nice scenery and great professional wrestling matches.
Victoria - Why? Friends and nearly the same living situation/irony.
Just outside of Vancouver - Why? Lower cost of living and continued access to drug overdoses.
Any number of Fantasy novel worlds - Why? Likely to live life as a serf, but there's hope of knighthood and dragon-slaying glory.
Montreal - Why? Poutine and being looked down upon.
Any number of Sci-Fi novel worlds - Why? The preponderance of alien races and evolved states of being. And ray guns.
Scandinavia - Why? Have you looked into this shit? They've got it figured the fuck out.
Short Answer: I think about moving quite often, but my instinct, after years of being in one place, is to make a bold move, not a small one. That has perhaps kept me in place for longer than I'd imagined.