I have a friend that lives in an enormous industrial loft on jefferson street of the L (bushwick). Definitely a nice living space with tons of room/windows/view, but the neighborhood is a bit far out there (not too bad to ride) and it can be a little sketchy at night if you're not used to it.

If I had to move here all over again I would hit up craigslist and find an emergency 3-4 month rental (breakup, sudden move, death in family, etc) and hit up all the neighborhoods I'd heard about first hand on my bike before I comitted to a lease.
We could fill pages about all the small (but significant) details about each borough,nerghborhood, street, or building, but seeing it first hand is the only way to get a feel if a place is right for the money.

Oh, and get used to paying a lot more for smaller spaces than you're accustomed to in the South. As in, imagine paying double your current rent for a place that is likely the size of your living room. Seriously. You should still shop smart, but just get over this now and you'll save yourself a lot of grief later on.