African cities ranked highest in the survey due to currency fluctuations, higher prices for imported goods, and more expensive accommodations.The most expensive European cities for expats were in Switzerland--Zurich, Geneva, and Bern.
At the other extreme was the list of small towns in the U.S. where you might like to live (although they too are likely to cost you quite a bit). The New York Times summarized six such lists and found that the top cities on two of those lists were in--wait for it--New Mexico (Santa Fe and Los Alamos). However, unless I miscounted, only two cities showed up on more than one of the lists: Telluride, CO, and Woodbury, MN. I'm sure that next year's lists will be different, of course, so you have to stay on top of this stuff if you intend to move.