Moving to the US?

Hi Tatawan
I think Charlier is right: it's just a nightmare doing all the paperwork yourself. I moved from France to the US with my company's support, and even their lawyer made a mistake that caused a 3 months delay to get our visas.
I don't know much about the details (all I remember is that I had to dig very deeply in my family's history to get all the required documents!), but getting maried is a first and mandatory step to get your visa, unless you have a US company sponsoring your visa for work. Once here, proof of residency will be required in addition to your visa to get a Social Security Number. This has nothing to do with our french Sécurité Sociale, but will be required by any employer if you intend to (legally ) work in the US. It is also the "magic number" you'll need to deal with about every local, state or federal administration, as well as to open your own bank account. So make sure you'll have your name on some rental, gas or phone contract!
Concerning the cost of living, NYC certainly is one of the most expensive city in the US and the prices for an appartment rental are very high, especially in Manhattan. The good thing is that it's also one of the only city in the US with decent public transportation and you won't need to afford a car. According to a friend of mine living in New York (I live in Pittsburgh), the cost of living in NYC is 20 to 30% higher than the cost of Paris... But your paycheck should be much higher there also.
All you need is a job: America welcomes good workers!

I wish you best of luck...
(But don't marry her just for US immigration... she's worth much more