I did exactly this many years ago to move to the west coast which turned out to be the best decision I ever made. Im still reaping the benefits. Although Im back in the midwest now, but thats another story with another happy ending...
Unlike the op, the company I worked at for seven years and suddenly left, that company was very disappointed that I chose to leave and offered me much to stay. But I just had enough of the midwest and the weather and the gloomy daily go nowhere bump and grind.
And I seen people get stuck in not only a job but in a location they hated. And as they grew older they became more and more stuck, depressed, and basically very unhappy people.
The best action is to make the necessary changes while you are still fairly young, because once 15-20 years pass by it becomes almost impossible to go after something new.
Especially for those married with children, which I was not.
I always think of change as a plus whether your decision or not your decision.
Yes it can be scary, but here is when you need a little faith in yourself.
After all, no one was born just to serve a company. Well no one except for the Walmart family, that is.
If you are married with children, yes it can be very scary.
If you are single foot loose and fancy free, I say don't be a pussy. Go after something better.
And while at it, also chose someplace, some city you'd really love to live in.