It's a tough one really, as less expensive usually means less work or lower wages.
Someone mentioned Brighton in another thread. Great nightlife, a very good University. They call it 'Little London' as it has the same feel about it - and probably because it's less than an hour from the real one and about half an hour from Gatwick airport. I love Brighton. I used to go there on holiday from London when I was a kid, so got to know it pretty well. Over the past decade or so it's become known as the 'gay capital of England', though you don't see that in the brochures. It's an amazing place really. Fantastic atmosphere and great people. You'll never get bored!
Bournemouth, also on the south coast, is a beautiful and quite a large town - well, 3 towns actually, as Christchurch and Poole kind of meld into it. It has a very good university (big too), good night life, a small airport that links Europe, a huge language student population (fancy some English teaching?) and one of the best beaches in Europe. It has, or at least had, a reputation of being something of a retirement town - a kind of running joke really. And while it is popular for retirees, it's mostly young people you see out and about. And it's commutable to London - about an hour and a half I think. I was thinking of moving there myself - though not to retire. 
What do you do or are interested in studying? And - it's a cheeky question - how old are you? 
edit: Ignore that last question - it was the 'to begin a new life' that's made me ask. 
[ Edit: Edited on 10-Aug-2009, at 19:03 by fabyomama ]