We've definitely considered it! Unfortunately both of our families are from the same area and it is very high CoL. Not only parents, but grandparents, siblings, aunts/uncles all live within 30 minutes of us... Luckily our parents help out with the finances a bit to help us through the first base stretch of our mortgage.
While it would ease things for us financially to move, we'd be giving up A LOT with family to do so.