Cost of living is kind of misleading because it depends a lot on how you spend money. The biggest difference is housing, but other things, such as cars, are nearly the same. If you're ok living in a little apartment for now, then the difference isn't as big as it sounds. (so if you live cheaply, then you should actually be able to save more in one of the high cost/pay cities)
To me, the more important issues are quality of life and quality of work. There's no way that I'd want to live or work in Houston, even if the housing is really cheap.
It's a good point about spending. I live in Atlanta but have had clients in Los Angeles. I almost opened an office for a former employer in LA, and my analysis showed that housing was my only big additional cost. If I had arranged for rental housing through my employer it would have been cool.
It's interesting- I think most people would rather get the higher salary regardless of cost-of-living or spending power. Some kind of gratification to their self-worth or something.
Keep in mind, though, that at least part of the reason that some places have a higher cost-of-living is that it's more desirable to live there. I'd certainly rather live in Boston than Houston.
To me, the more important issues are quality of life and quality of work. There's no way that I'd want to live or work in Houston, even if the housing is really cheap.