Most people that I have known that have left the state had a rude awakening about taxes in other places. Unfortunately though illinois has a very regressive tax structure so the less you make the more it might be better to go someplace else. Overall though we have low income tax outside of states that have none because its flat. I don't know anyone who has had a successful move who did not have a job lined up that made the move sensible. Everyone I know who tried moving and finding a job in the lower cost area because its to expensive here has come back.

Illinois is literally surrounded by cheaper states. Louisville, KY, St. Louis, MO, Evansville, IN are urban areas nearby that regularly make national "Best Cost Of Living vs Quality of Life" lists

There are plenty of nearby states that qualify, the problem is most of them are not politically viable if you've lived in Illinois for years. I landed here because western Indiana was just too MAGA for me, for example. Indiana is a lovely state, and I'd gotten quite used to calling it home and tolerating the morons rolling coal and such. But then the pandemic hit, and every time I tried to wear a mask in public someone managed to make a big deal out of it.

Just move to a rural area, any city is going to be similar.

Food and housing prices aren't based on anything besides what people will pay. In a state with high taxes, people can pay less, so prices are lower.

State to state doesn't matter near as much as urban or rural.