I have actually made a history of taking a gig in a new city, liking it so much, staying . . . I took one show in Dallas (moving from San Diego, CA) and turned it into three years work. I left Dallas to do one show in Washington DC, and now, five years later, I am still here with little thought I will ever leave. But, both times, the one time gig turned into a full time offer - so it wasn't like I was taking a huge risk or plunge. (I am so about not taking huge risks with my career - I hate the whole concept of freelancing.)
When I moved to New York, I landed without a job or a place to live - and ended up in two weeks finding work and an apartment. Although thrilling, it was a bit terrifying. Luckily, I had worked line up outside of NYC, so I was never desperately hunting in NYC for any stretch in time.
Since I think this job is ALL about the networking, I find it a true act of career bravery to sort of pick and land in a new city with hopes to make it there.