Not personally but I have worked there and knew a few colleagues.
One young, single (i.e. no kids), healthy, alcohol lover (really expensive in Sweden) didn't like it very much and returned to the US after a couple of years. He couldn't stand the boring night life of Stockholm, being an American didn't help getting friends and didn't understand why did he have to pay high taxes,
Another guy, middle level manager married with kids, obviously older, moved between Copenhagen, Stockholm and Prague and his worst complaint was the Danish weather.
Note that it is not that easy to compare salaries, especially in the more "Socialist" countries since your taxes buys you and your family a lot more.