I moved from DC where I was earning slightly above the median to San Jose where I was earning a good bit more than I did in DC. I knew San Jose would be more expensive, and it was. I had little to save at the end of each month. Additionally SJ is a terrible place to be a young(ish) single person. I then moved to SF, and continued to work in SJ for a year. I had even less money, but living in the city made me happier. Now I live and work in SF.
I know where I wouldn’t move for more money (ahem, Boston, NYC) but if I leave SF quality-of-life factors will be the most important, and I think the short list is either Denver (where I’m from) or back to DC.