Cost of housing in Sydney = one of the highest in the world. It comes more expensive for an average house than London and New York. And the surburbs are at risk of bush fire.
Canada. Depends on where you live. Again Vancouver has one of the highest house prices in the world. I'd say how you cope with very low temperatures would be a big factor if you live elsewhere in Canada (including Toronto/Montreal).
New Zealand and Australia. I'm assuming you are going to want to see family at some point. Think about how cost of visiting back to the UK (especially with young children) or not seeing your family would effect you.
Depends on where you live in Australia, but can you cope with hot Aussie summers? They sound nice in principle but regular 40C heat (and having to cover up) gets tiresome very quickly.
Can you cope with Aussie tv. Especially on a Saturday when its wall to wall sport ALL DAY ON EVERY CHANNEL.
New Zealand is beautiful, but you can easily feel like the middle of nowhere too, especially on the south island. Oh and don't forget earthquakes and volcanoes.
Having spent time in all three (lived in Oz for 6 months, have relatives in Canada, good friends who have emigrated to NZ), I can honestly say "same shit, different bucket" applies. And spend a long period of time in any before committing. A holiday is VERY different from moving.