</more-than-usual bias>
</more-than-usual bias>
(We're headquartered in NYC and Chicago).
Of course, I disagree wholeheartedly with Thomas on Chicago unless you're bootstrapping. If you don't want to do SV, Boston and LA (especially now with Jason's Open Angel Forum events) are pretty good options.
But New York is huge and you can find a little bit of everything. Brooklyn alone is larger than most large cities, with 2.5 million people (over half the size of metro SF, and about the same as metro Pittsburgh). Everything gets much, much cheaper when you leave the ultra-density of Manhattan. It's like any other city center, just scaled way up.
Also, DUMBO in Brooklyn is fairly easily accessible and is becoming quite a startup hub. NYC seems expensive, but if you look hard enough you can find good deals anywhere.
Don't be afraid to look outside of the manhattan/williamsburg/dumbo/long island city areas, either.
Most people who think that NYC is incredibly expensive (I've even gotten this from folks who live in La Crescenta, CA) haven't bothered to explore beyond Manhattan.
Brooklyn really isn't that expensive - you can get a decent enough railroad style apartment for around $1100. That's more than enough space for one person. You can dial it down to $6-700/mo if you're willing to move in with flatmates.
I find that most of the expenses of NYC come with the nightlife. I actually live cheaper up here (rent + $400 or so for food + transport, monthly) than my brother does down in Durham, NC.
Disclaimers: I don't go out much, and when I do it's typically on the cheap. I live in a pre-gentrification area of Brooklyn (Bushwick), but I've only felt unsafe once - and that was due to some stupid mistakes on my part. The hipsters are starting to trickle over from Williamsburg, but it's not annoying-roof-drink-n-drugs-college-party-ville yet. My landlord sucks (but don't they all?). And I've never (Disclaimer^2: I've only been here for 3.5 yrs) had issues with bedbugs.