I find it an interesting discussion here and worth to go into details. I believe you are coming from Oceania?
Well, I don't know how well you know Europe, but there is an amazing variaty of people, cultures and languages here. If I were you I wouldn't concentrate mainly on cost but on quality. It might be easy to change households in a unified continent like the US or Australia, but that's not the case in Europe.
Example: Do you speak other languages? It might be interesting to learn a new one (which I recommend strongly), but could be very difficult in the beginning if you don't, e.g. if it comes to deal with authorities, renting houses and buying cars. You should go where you get the best quality of living for the least cost and the lowest taxes.
Where that might be, that's hard to tell, and everyone will tell you his own country. Switzerland, where I come from, is a very modern country, with excellent infrastructure, (still) low criminality and high education standards (most people understand English and other foreign languages).
I would recommend to travel around a bit, mainly off the tourist routes and outside of luxurious hotels, and try to get into contact with the locals. If you see something you like, go to an immigration authority and ask about formalities. From the number of papers they hand you out you will find out where your future lies...
Good luck,
Dani