I've done it and it's been a pretty wild ride that I would recommend it to anyone. I was originally born in Missouri and went right into the Army. That probably sounds like I was a country bumpkin, but I really wasn't.
After I left the military, I was drafted into an international company specializing in imports and exports. I learned several languages and my specialty was targeted negotiations. Eventually, even though I brought great value to the company, they decided that they no longer needed me and I was offered what seemed (to me) a pretty poor severance package.
This was a real turning point for me. I'd never been separated like that before -- I'd always moved on to new assignments on pretty good terms. Fortunately, I had a little set aside.
After a night of sailing in the Mediterranean, I had a horrific accident; I fell overboard and eventually rescued by a passing fishing vessel. As I healed, I sought to rebuild my life with the help of a few new friends, who I can now never forget.
Of note, even the larger U.S. consulates in Europe were not very kind or helpful! At times, it seemed almost like they were working against me. This may not reflect your experience, however. You're probably asking where the IRS was in all this, and to be honest I've asked myself the same question!
Where do you live?
I spend most of my time traveling and paying off old debts, but I do have a few close friends.
What's the biggest sacrifice you had to make (i.e., pay, housing, friends, etc.)
To be honest, there were people that I was very close to back in the States that I thought were my friends and people I could trust, but I found that most of them couldn't be trusted. Even my former colleagues seemed to not care for me that much. And traveling all the time is a bit of a pain, especially dealing with customs, local police, etc. My old company has blacklisted me, so I've got to deal with that as well.
What have you gained?
Freedom. Even though America is the land of opportunity, and actually I have determinedly pursued a lot of opportunities, some parts were quite miserable and even felt like torture, but I've mostly been able to suppress those feelings, even though they've left some lasting scars.
All told, my life has been pretty interesting, although the U.S. government has proven to me that it is really just a group of people like any other; even with the noblest of intentions, as you gather a large group of people, it becomes far more likely that some bad apples will infiltrate, so "the government" cannot always be trusted, even if it largely tries to do the right thing most of the time. Eventually, someone has to clean house.
I still respect those foundational principles of liberty and justice for all and still try to apply those principles.