Speaking as a wealthy person who has considered expatriating, the US is REALLY nice relative to almost anywhere in the world if you have a lot of money. There are also activities like piloting your own planes, using wide-open spaces, etc, that are much more regulated and hard to enjoy in other places.
US is also really fun for girls/partying if you have money.
30%+ of your income down the drain sucks a lot, but past a certain point in net worth it becomes somewhat attractive. Same reason people live in California even with the insane tax burden--it's really really freaking nice.