and once I left for UofM I never looked back. Most of my family and several friends are still there. Can't beat the restaurants and culture (and, since you're obviously single, the nightlife) but to me not a fair trade for the high rent/real estate costs, heavy traffic to get anywhere, general cost of living (ridiculous the prices you have to pay just to go to ballgame) and the ridiculous work hours and the absolutely obnoxious people. If you think it sucks now, it only gets worse when you go to the suburbs. I think you clearly know you need to go...but the question is when and where.
As one of the other posters said, once you get tied down with the entaglements of a spouse and kids your mobility is severely limited. Now is the time to make any moves.
Further, one of the other posters was correct that your career will be limited by the cities that have significant finance jobs available and the awful economy. SO why don't you start eyeballing other jobs and if one comes open you're interested in, you can always pursue and if one comes along that looks like a good shot, take it.
NY really isn't for everyone, or frankly most people short of those who know nothing else and those who came from places that were stifling to them and they needed some of what only that city can provide in terms of creative and cultural outlets. Again if you're feeling that way as a young single man (which is really when NY is at its best) its only going to get worse. Plot your course out but don't do anything rash like quiting. Bide your time and wait for the right opportunity then kiss it goodbye. A word of caution, I have some friends from the northeast and midwest who live in southeastern cities (Atlanta, Charlotte, Tampa) who say they always feel like an outsider because they don't drawl.
As for places to go..I lived in Miami for several years. Fun when you're single but I wouldn't raise a kid there and never met a girl I wanted to be around for more than a few hours. I left after three years of law school then two years out. Just sick of the people and I prefer cold winters to 90 degree/90% humidity summers there. Suffers from many of the same annoying people and really a very flashy and fake place. I have several friends both single and married with kids) living in Denver who love it. I also think the world of Seattle but its so far from anything. I would live there in heartbeat if most of family and friends were not in the midwest and east coast. With both, I don't know what job options are availlable in your field. Everyone I know in Chicago loves it but the real estate ain't cheap. At least you get the big city benefits without the ridiculous work expectations. I also know a lot of people who did their single life in Chicago then if you marry come back to Michigan.......
I love metro detroit (I'm not far from the city you grew up) but I think its tough to be single here and jobs are DIFFICULT to come by right now.That said, you can live like a king here if you do land a good job and its really a great place to raise kids (plus having one excellent and one pretty good public university is nice compared to New Yorkers and New Jerseyites who HAVE to send their kids out of state or to a private school). It strikes me that since the city was such a run down place for nearly 30 years all the suburbs really developed (like Birmingham, Royal Oak, Milford, Saline, Northville) and, once you have kids, you live in the suburbs regardless of where you are. That was the one thing I hated about NYC, the suburbs were just residential sprawl with no downtowns or anything to do since everything was focused on the City. I've seen a bunch of people who grew up here and moved back here recently after building their resume elsewhere, getting married, having a kid or two and then landing a solid NON-AUTO INDUSTRY job (most were doctors, lawyers, accountants, a chef).