As far as anecdotes go, since I moved to London I noticed a sharp decrease in memory performance, heavy hair loss, and a general feeling of unhealthiness, developed a random persistent cough as well. The fact that you can always see a heavy haze even in short tube tunnels tells a lot on the air quality, the last underground cleaning train stopped working in the eighties...very unhealthy place to live/work in my opini…
I live in a heavily polluted city -- a couple of chemical plants, a coal power station, and the central heating system burning a few (dozen) tons of coal every day to combat -40°C winters. A lot of my friends/acquaintances (in fact, most of them) have moved to other cities and many of them report having trouble adjusting to less polluted atmosphere: trouble sleeping (after moving within the same timezone), constant headaches, rashes, the list goes on.
Also, you hear a lot of stories of older people (third world definition of "older", i.e. around 60), never having a single complaint about their health, moving to cleaner cities and dying in a couple of weeks of strokes and cardiac arrest.
It sounds like old wive's tale, but not when you hear it for the twentieth time from the relatives of yet another person affected.