Thank you very much for your (and the GP's) input. Interesting perspectives.
As I said, I was hoping for more personal experiences like "this happened to me so I decided to leave" than just perceptions and perceived fears which can be too easily influenced or biased. I can understand how they add up and create stress but so does flying for a lot of people - while being one of the safest modes of transportation.
For example, going to the US, my main fear was violence, and more specific gun violence and terrorism. Luckily I never encountered either, even if there were quite a few shootings and even 9/11! during my very stay. Today I'd just say these are statistically insignificant events (as horrifying as they are).
Secondly I was terrified of losing my job - with everything it entailed, especially my work visa. And I did get fired, eventually. Luckily the whole thing went swimmingly, with COBRA & severance pay picking up the slack during a short search and my next company continuing my visa sponsorship.
I was also afraid of cops (thanks, Hollywood!) but all encounters I actually had (noise complaints during parties and traffic stops) were quite amusing & polite.
In the end I had an amazing, positive experience living in the USA and it also helped me appreciate and understand Europe better. After all the years living in the EU now I could write a whole lot more about the horrors here (corruption, bureaucracy and the Russian threat easily come to mind) but that's not the topic and I am too old to believe there is a perfect place for everybody. Each choice is personal and it's composed from countless subjective, even subconscious factors - so good luck with yours!