Most folks don't even have passports, let alone money to support themselves while looking for a job. Many countries will require that you know the local language or take classes (and you might have to pay for those classes). There are usually requirements for money in the bank to supoprt yourself and your family. Here (Norway), you need to apply for immigration for each family member. Your family member may or may not have the right to work in the new country. Many have restrictions that you need to be a skilled worker and/or have a pre-existing job offer. Shipping your belongings overseas is expensive - I gave most of my stuff away, though my situation was marriage instead of job-based so I had a household waiting. Others don't have this. You still might need to pay for health insurance even though most have universal insurance. Tax returns are more of a nightmare. It takes a fair amount of planning and money to do such things, and if it all fails, or you lose your job - you just wind up back in the states.
Folks from the EU can live and work in other EU countries without these sorts of restrictions and without so much formal paperwork from the employer.