If it's music scene you want then I would move to the far west burbs of Chicago. There are still some jobs available for those with a little ambition and it isn't that expensive to live. You can visit the big city anytime you want with no more than an hour's drive and see the world class museums, sports and cultural events and festivals as well as some great colleges, and the lake shore itself is gorgeous with one of the best skylines on Earth.
Personally, I would move to Duluth, MN. because I like the Northland and don't mind the brutal cold weather and Duluth is just big enough to have everything I want, but small enough to not be too much like a city.