This is something I've been struggling with. I worked my ass off to get up the cash to stay in NYC, but its proven to be even more expensive than I anticipated on an almost unrealistic scale. Most of my family are moving to small towns and I have to drive out to visit them now, but small town living doesn't fit with my lifestyle at all. My wife and I love being near ethnic groceries and 24 hour restaurants/bodegas, nevermind the constantly running data and power grid and god tier medical facilities.
There's a few places around Jersey that are a reasonable distance to NYC that have malls and stuff nearby, those seem somewhat attractive. I've also looked into cities like Jacksonville in Florida, but I don't want to go somewhere like that until my family croaks. For now I'm pushing the boulder that is the NYC cost of living, happy to be here but nervous as fuck.