Does anyone regret moving from Canada? (Denver)

Hi - just wondering if anyone regrets moving to the US / Denver from Canada? I am originally from TN and my husband is from Ontario, Canada, where we currently live. We are considering moving to Denver. My reasoning: we both love outdoor activities and I absolutely love the west. I was planning to move there before moving here. I also absolutely HATE the winters here. We also live in a small town where I have few friends and am underemployed.

My hesitation? From what I can tell the taxes aren't much different in Colorado than Ontario and it appears cost of housing might be higher than where we live now. Also, we would have to pay healthcare premiums after tax, plus anything not covered by insurance. Add in the political climate down there and I am starting to question whether it would be a good move. I would love to hear how actual cost of living compares for anyone and whether anyone regrets moving? Also, what about the culture change? I like how open, polite, friendly, and liberal people in Canada are. I like that the first question you get asked at work isn't where you go to church (I am agnostic and I remember people just looking at me like an alien when I said that in TN). Wondering how Denver compares? Thanks in advance!