Go for it! I left the Midwest the year after I graduated to do a year in an Americorps program in Boston. I loved it! I moved into an apartment with 5 others in my program...none of whom I knew (in fact, I didn't even meet most of them until we all moved in!). Totally scary at first, but definitely a good experience over all.
As for Connecticut, one of my best friends from college lives in Stamford right now (she's a high school teacher in Darien)--both are VERY close to NYC. I know that she has a roommate because apartment living is a little pricey--but definitely cheaper than living in New York. A lot of people live in CT and commute. I think that the general cost of living as a whole is cheaper than NYC--but I'm fairly certain it will be more than living in the South. I know when I lived in Boston the cost of living was MUCH higher than when I lived in St. Louis--but really as far as my rent went. Phone, cable, DSL, etc. was the same...as were groceries. Sometimes you just have to shop around when you move to see what's out there to find the lowest prices and best places to go. That is, however, a great way to get to know a city.
Good luck on your new adventures!
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