Where do I find information like this? Taxes, costs of living - everything. How did you do before you moved to Sweden?
Numbeo is ok for comparing the cost of items, but it's not clear how your consumption will change. My consumption is much lower in Stockholm.
http://www.numbeo.com/cost-of-living/compare_cities.jsp?coun...
Cars are expensive, but hopefully you don't need one if you're looking at NY metro.
The big differences that are harder to predict are insurance, healthcare, and retirement. Healthcare costs can be sudden, large expenses ($2-20k USD) even if you have insurance through your employer... to be safe, you need to keep a pretty gigantic emergency fund. If you don't have insurance through your employer, you will probably bankrupt.
Children, college, and retirement cost more than you will ever earn. Don't do any of those things!
My company is extremely international, and all business is done in english, so there is no problem. Other companies I interviewed with did bring it up as a problem. Startups seem to care very little, major corporations care a lot.
Immersion helps a lot for languages.
I've lived in Denmark for 2 1/2 years and probably have had less real need to speak Danish here than in the 3 weeks I spent in Spain! More Spaniards are either unable or unwilling to speak English, so that trip was much more immersive language-wise, in that I actually had to interact in Spanish.
My personal theory is that Spanish Spanish (i.e., from Spain) has a range of spoken sounds that is to a large part complimentary to that of English, thus making the transition between these two languages particularly difficult. (Note that there is significantly less of a difference between the sounds of American Spanish and English).
Comparing the cost of living is difficult. I don't know anything about the lifestyle in Moscow, but the US is so extremely different from Sweden that it turns out I did all of my comparisons wrong... I thought my expendable income would go down by moving here, but it actually went up. This is not because Stockholm is cheaper (it's much, much more expensive), but because I imitate the Swedish lifestyle, and the Swedish lifestyle is much cheaper than the American lifestyle :)
Swedish salaries aren't going to make you wealthy, they are just going to make you comfortable. And if you live your whole life here and retire here, the government programs will keep you comfortable through your retirement. It's a good system to live in long-term, but it's not the most competitive for short-term positions.
Most of my friends here are non-Swedish europeans, and I really only see two stances: either they moved here because they needed a job and they can't wait to move home, or they moved here because they wanted to live in Sweden and they love it. Marriage complicates it even more... some love it, but their spouses desperately want to move home. (good news: young children seem to transition very well)
If you or your wife is particularly against moving to Sweden, drop it immediately. You'll probably never get over that. But if it sounds like a fun adventure, then it probably is! If the first thing you want to do here is find some surströmming and köttbullar, you'll have a good time... if the first thing you want to do is find other Russian expats and a Russian food market, it's going to be a long winter.