I worked in NYC but lived in Jersey - moved back to London last year. NYC taxes are some of the highest in the state - can't quite remember how much but it was a lot.
Hated the clear lack of a support network for mentally ill people - it's v common in NYC to see homeless people having mental breakdowns and no one helping them. They usually end up getting arrested.
The risk of guns always made me nervous - they're stricter in NYC than other states but still far from good.
Everything is so much more complicated to sort - getting a social security number etc. It does work out but I found departments seem less well funded than over here.
Medical - insurance is expensive and as a non-native, I found it SO SO confusing.
Job contracts - you want to stay on your UK contracts. I got 33 days holiday, my US colleagues got 12. I got paid sick leave, they did not etc. The idea of having a baby there also put me off.
Food costs - everything costs about 20% more. Also some of the chemicals they allow are crazy, which is why farmers markets etc are so vital as they're not sprayed with terrifying chemicals.
I got paid a lot lot more but honestly didn't really feel like it once everything was paid more. Rent is v expensive in NYC and Connecticut.
Overall v glad I went, I did just list all the negatives here - it was good fun, and if I had been younger and single, I'd probably have stayed out there for a few years but I was very glad to leave. Food was great, made a lot of nice friends and saw the sites but I honestly think the UK is so, so, so much better!