Chicagoland gas prices suck, but I wouldn't move out of this area. I made the decision years ago that I'd stay in Indiana though and commute every day. The cost of living is a lot cheaper over the border as far as taxes go. And, there's also less corruption.
With the exception of the air quality, traffic, gas prices and crazy seasonal weather, it's a pretty good location. Jobs are plentiful with all the industry around, the schools are good (my district is one of the highest rated in the state), there's always something to do when you're bored, and we have a bunch of sports teams (most of which pretty consistently suck). One thing I really like about my particular location is if I go 45 minutes north, I'm in downtown. If I go 45 minutes south, I'm in the country.