Any hints about moving to another country?

Hey everyone! I'm Brazilian and I dream of moving to another country. I decided to start saving money (which is being very hard in my current financial situation) and, since I graduated from College a couple of years ago, I thought maybe I could try a scholarship for a Master course or something like that. The problem is that I attended a local private College in a small city (and most private Colleges aren't that good in Brazil), and even though I've always been a good student, I feel like next to others with the same scholar degree I'm average, or maybe even below average. I don't know if I have what it takes to get a scholarship. So, I was hoping you could help me discover new opportunities by sharing your experiences and knowledge.
What was your experience like? How did you prepare yourself? Was it expensive to leave your home-country?