Before relocating, network extensively with family and friends. They may be familiar with the city you're moving to, or at least have contacts there with employers, friends, or opportunities that can help you make a new start with greater ease.
If you're thinking about making a major relocation, remember that you're not alone. There are companies that specialize in helping people relocate for a fee, and in this electronic age you can find dozens of web sites, often specific to particular locations, that will help for free.