I live in NYC - Manhattan. Feel like I need say that I get 27 days paid holiday a year, plus bank holidays, and paid sick leave on top of that. I also had 6 months of maternity leave - the first 3 on full pay and NY state SMP after that.
Now I've got that out of the way - things that are shit about NYC when we're not in the middle of a pandemic
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Everything costs a fortune - my daycare is $2800 a month, a 2 bed, 2 bath flat where I live (crap school district) starts at $1.25m. Broadway costs a fortune, museums cost a fortune, want to go to a mother and baby music class? That'll be $50. I could write a whole post on this, but I'll stop here.
Competitive everything. Everything is an arms race/competition
Obsessive diet culture - I'm a UK size 10, occasionally 8 and I'm one of the fattest people I know 
Boiling hot in the summer, freezing cold in the winter, not a lot in between
Brutal divide between rich and poor
It's filthy and smells horrible in the summer
Violent crime is on the up :(
I like it here, can't think of anywhere else I'd like to live, but it has downsides for sure.