I have some friends from college who made such a move. They said it's ridiculously expensive, rainy all the time (duh), and it gets much hotter in the summer than anyone wants to admit, because it's hard to find a place with A/C.

Of course, they are loving it anyways, they are both employed by a publisher of roleplaying books, and they are both huge roleplaying nerds. I would have moved out there if I had the chance, but instead I got relocated to Montreal and I'm quite liking it here.