People who move to New York say they did so for "the bright lights", the culture, the food, living in a 24 hour city, having thousands of bars/clubs/restaurants/stores to pick from.
The reality is though...after you've lived in New York for a few months, you will hate Times Square and avoid it all costs.
24 hour stores are cool but, realistically, how often will you need to go grab paper plates at 4:17am on a tuesday night?
New York has 1500 nightlife venues, 900 bars, 5,000 restaurants (pulling these numbers from the web). And a rough guesstimate of maybe 5,000 clothing/fashion stores. That's amazing to think about. But your azz will never go to all of them. You're gonna find the places you like and stick to them

A smaller city like Chicago or D.C. might have 200 clubs, 200 bars, 1000 restaurants and the stores might only stay open to 12 midnight. You're not missing out on anything. Your life will be fine. And you actually get to live like a human being. Personally, I think Chicago is a great alternative to New York. It has the skyscrapers, the urban density you want and its 1/4 the cost.