Hey SuperDave,
I say go for it and don't look back! That's what I did. You're young, single, and talented I'm sure, so there is nothing to lose really. What's the worst that can happen? You move back to Texas - who cares.
Sure, this is the most expensive place on earth, but everyone should live in New York at least once in his lifetime. So don't let all the negatives get you down.
Look at Jersey City, Queens, Brooklyn, Harlem, and the Bronx. Get a roommate. Take a transition job - like temping - while you job search. Also, look at the private sector. There's a lot more money and opportunity there.
And remember, from my point of view, the upside is tremendous and the only downside is that you decide the City is not for you.