The world's most expensive cities: http://www.shanghaiist.com/archives/2007/03/08/hey_we_are_chea.php
Price / Income is a more appropriate measure. For example, Chicago is a very cheap city to live in if your income is coming from Chicago, yet it ranked very high on the most expensive cities list. However, if you're from a rural area and living in Chicago on your rural income, the expenses can seem devastating.