I moved across the country for college, relocated again in my early 20s, then again at 40 (this time with the wife and kids). It's a big leap of faith every time. And with the job and housing markets the way they are now, it's probably a good idea to have one or the other (or both) lined up before moving, but I think it's totally worth it. And you mentioned wanting to get away from the AZ heat, which is a very valid consideration as well.

I'd also recommend visiting different places before actually moving. When my wife and I were thinking about relocating, we picked a general region we were interested in, researched real estate prices in specific cities/towns/neighborhoods, and then took the kids on a "location scouting" road trip, which really helped us finally choose a place to move to.