I moved to Canada (Montreal) from the states.
I wasnt very far from Philadelphia or NYC, both being roughly an hour and a half away. I like both, but it was too much hustle and bustle for me and I wouldnt like to live there. Montreal is a more toned down version of them, also less crime i'd say.
Living costs (food, rent, etc) and everything in NYC are outrageous though. A lot of the people from where I lived in Pa would commute to NYC for work every day just because they couldn't afford the cost of living there.
The other issue you'd have to take into consideration would be citizenship. My mother is Canadian so I got my dual citizenship, however even that process was a pain and took a bit over a year to get. If you dont all ready have some kind of a visa to live in the states or a citizenship, i'd say get that before you go, otherwise it will be impossible to live down there, even with working an under the counter job.
Personally i'd stay in Canada. From what I have seen with the economy (Canada vs US), its much easier to get a way better job. For example: Where I am, i'd make at least 12 dollars doing a job i'd only make 9 dollars down in the states for. Health care is better up here. Schooling is cheaper (at least in quebec), if you were planning on going to college/uni.
The states have too much shit going on right now. If you want to move to a city, i'd say just stay in Canada and move into a bigger city. Same opportunities, and less hassle.