Just do it.
It's not always easy and not particularly glamorous but - in my experience at least - the benefits far outweigh the negatives. I moved to Greece straight after Uni, (Zakynthos and then Thessaloniki), then moved to NYC, back over to London, then to Santa Monica and this last week moved to another place in California near Palm Springs. Each place has it's own challenges and benefits but life is really what you make of it.
If it doesn't work out then you can always try somewhere else, and failing that you can move home!
The only things I miss are friends and family - don't miss the shitty weather, sitting in the same seats in the same bars regurgitating the same old shit patter. And, when it works, you can use RedTV to watch the Dandies play. Magic.