my friend Tim from Phila moved to LA recently and is messengering there. he says it's pretty chill, nice weather, small delivery area. he gets paid by hour, which is either good or bad, i'm not sure. probably good since they do fewer runs than we do.
philly is a great place to messenger if you work at TimeCycle (which apparently isn't even close to as difficult as it used to be). otherwise it kind of sucks. TCC is the only place you can make $500+ per week, with the exception of the guys who have been at their cut-rate company for 15 years and are basically on the payroll. living in phila is fairly cheap (i live in NYC so my perspective is a bit skewed, maybe...), and the weather doesn't suck THAT much. it's no worse than DC, NYC, Boston, etc...
that said, i like new york. i make about exactly as much here as i did in phila at tcc (and admittedly i do work harder), and the cost of living in new york is out of control (approx. 40% higher than in phila i estimate). but it's new york and i made a lot of amazing friends here, so it's worth it.