Biggest sacrifice I had to make was downsizing my residence. I have a small flat in Helsinki instead of a large US home. Homes are generally much smaller here, though with more rooms for the square footage than they do in the USA.
I have gained so much. I live in a place where it is safe for my children to wander the city alone. I live in a place where I never get harassed by homeless people in the street, in an exceptionally clean city with very little crime.
I live by the sea and enjoy clean air 365 days a year, instead of smoking the state of California every summer.
The Finns have an extremely strong predisposition to minding their own business. It makes it a little harder to make friends, perhaps, but I love not having to deal with busybodies. I am partially blind, and travel with a cane or a guide dog from time to time. In the USA I was harassed almost daily by people who didn't understand that you don't have to be totally blind to benefit from a guide dog or a white cane.
In Finland I have never been questioned about this.
They also have a much more work to live mentality and better work life balance than in the USA. You notice this when you see that when people introduce themselves they often do not mention their profession, as it's not seen as a core part of their identity like it is in the states.
I don't own a car, as the public transportation is so great here that it isn't worth the hassle of having one.
I have enough children that the taxes aren't actually that much higher for me. If I was a single person then the math would be very different, I am sure.
Local salaries are much lower than in the USA, but I do contractor work for US companies and still charge US rates so I haven't felt the impact of this personally.
I love having access to good health care that isn't tied to my employment; it makes being self-employed much easier.
I love being able to walk everywhere. The USA is a terrible place to be a pedestrian.