Indeed Neo, the cost of living in the UK is higher, although salaries are also a lot higher (for all trades, not just pilots). Calgary is getting very expensive to live in now, although i doubt it compares to what Londoners are used to!
As far as pilot training goes, i'm glad i did all my exams in Canada...the UK pilots may get paid more but look at the debacle they have to go through...the JAA wants well-trained pilots and wants to take all their money (eg. $1400 just for the IFR examiner), whereas Transport Canada just wants well-trained pilots!