Most of us have felt tempted to pack up our lives and run away, at one point or another. The idea of leaving behind all your problems to start fresh in a new place can be equal parts romantic and terrifying, and the results of actually doing it can truly run the gamut from life-affirming to destructive.
I did this in my mid 20's. I traded a motorcycle for a slide in camper, drove from New Hampshire to Alaska and have made Alaska my home.
I did this as a single person between jobs. Now I have a family and a great job. I don't plan on moving out of Alaska until after retirement from this job.
I did something like this several times in my twenties. If you need to get away from a bad environment or establish independence it may not be a bad move.
When you establish yourself somewhere else, you have nothing but your own resources. Moving forces you to find a job, a place to live, and other resources and new people to deal with.