It really depends on the sport you want to pursue. Like DJEtzel mentioned...UKC is based in Michigan, and Michigan is one of the only places where you'll find consistent competition at the conformation shows. Schutzhund clubs are generally out in the boonies. The ones in the cities are quite expensive (if there is one in your city).
If you live in a large city and decide to join a club an hour or two away...costs go up, not just for gas but for the amount of time to drive to training (pretty much kiss your Sundays good bye).
I live in Milwaukee, I grew up and have friends in Chicago. There are Schutzhund clubs in Chicago, they are quite expensive...but there are no Schutzhund clubs in Milwaukee. I'd have to drive about an hour to get to my closest one (but its cheap, comparatively speaking). I train at the GSD Club of Wisconsin. I pay about $200 in dues and training fees a year for AKC obedience, rally, agility, and now conformation (with my working line). Milwaukee is also packed with public parks (people and dog). Fenced in ones for dogs, or large parks with golf courses, beaches, woods, hiking trails, ect. I've never had a problem going to one of the county parks and allowing my dog to run off lead...that would never happen in Chicago, way too many people and just a different mentality. I take my dog down to the beach (on Lake Michigan) and we go swimming and no one has a fuss about it. In Chicago there is a special "dog beach," costs $300 a year to use and its about 50 yards long.
I think you really need to figure out what you want to do with your dog and then decide based off that. Not sure if you're retired or need a job but that is also something to consider when it comes to moving. Large city...lots of opportunity. Small town...who knows?