I think that used to be true, BTW...but I've looked both at employment and housing in many areas of the country. In almost all cases I'd rather take a lower paying job in a cheaper place than a higher paying job in an expensive one. The salaries don't quite make up for the higher costs...or in some cases don't even come CLOSE to making up for them.
Living in DC area, $500K houses and family incomes of $150K+ just seem to be the norm. I know that isn't true based on statistics, just anecdotal....
I wouldn't even THINK of taking a job in NYC unless my income was tripled at a minimum. And I live in Chicago not exactly the cheapest city around.