I did it and I'm so glad I did!!! After college I got a job in New York City and it is truly the best thing I ever did. I experienced so much and met so many awesome people (including my husband!).
It was scary at first, but I learned to cope, then to love it, then to really pride myself on my accomplishments. To this day, I laugh when I go into NYC with friends who haven't been there before and they're so impressed because I can navigate the subway system.
Good luck with whatever you decide!
PS from the weather you say you like, I'm pretty sure you would like Arizona
