You definitely have to look at the cost of living as it relates to where you're coming from and going to. This should apply not just when you're moving between countries, but even moves within a single country to a different geographic area. The cost of living in New York or Los Angeles is several times what it costs to live in Indianapolis, or Columbus.
I'm not 100% sure where you'd get the data when you're looking internationally, but within the US you can usually check US census data or with the local Chamber of Commerce, and they will provide you with the average cost of living as a percentage relative to the national average. Sometimes they can break it down even more into individual expenses like housing, education, food, utilities, etc.
One other thing to check is the tax rates for that country/state/region. Some of the US states have no personal income taxes, while others do. That can be a big difference. I know that some European countries also have much higher tax rates than the US (though some would argue that you get more back in the form of government benefits, which could offset some of that money lost to taxes).