Re: cost of living in Hong Kong, real estate is expensive, but it's not much worse than New York. For example, if you live in Manhattan it is the same as living in the mid-levels and you'll be filled with an outrage at the prices. If you live in Discovery Bay, it's like living in Williamsburg, Brooklyn. Tung Chung = Bay Ridge, and so on.
A can of coke will cost you ~US$4-5 if you buy the can from a restaurant. However, under HK law, at least one 7-11 must be visible from any part of the street, and at 7-11 you'll spend about US$1 or just under... similar to NYC.
The rest of it depends on what you do. Eat the same as at home, will cost you more than if you eat like a local. It's not for everyone. All groceries are imported will cost more than at home and will not feel like much of a bargain. Inflation is well felt in HK, whereas living in the US, I did not really feel like prices rose over time. Hobbies are expensive, and school costs can be bankrupting. In NYC, theoretically, you could move further out and find an acceptable public school for 'free' but you'll be paying way more in property taxes.
I've lived in the Middle East too. You'll have to decide if the reduced freedom, and occasional open hostility is worth the tax free income. If you are a Yank, it's never tax free anyways. I found groceries more expensive in Dubai than HK, but I only lived in Jeddah, and found it about the same there.
Healthcare is decent and pretty cheap. For example, I cut my thumb in a dishwashing accident and I was stitched up at the local hospital by a doctor trained in Sydney for HK$100 (~US$12) and paid with my Octopus Card. It would be ~US$120 if I were not
PR.
If you are single, I highly recommend you come. You'll have the time of your life, it's a giant playground in HK for people who are not eager to grow up. Mainly because life's responsibilities increase costs exponentially.