Most people I know have the idea that if you move to California or New York, you'll have a better chance of being successful. That may be true, depending on how you view success. If the market you're in is overflowing with competition you may think it would be easier to relocate, but is that the right decision? In order for you to make that kind of decision, you need to consider a few things before you do that.
Having competition is never a bad thing. In fact, you should like having competition. It not only keeps you on your toes, it also forces you to try to be better than everyone else. You won't have a desire to be better at what you do if you don't have any competition and all you hear is how great you are. If people keep feeding you things like, "Oh wow, you're amazing at what you do!" or "I've never seen anything at this quality", be careful. That's a one way ticket to disaster. I'm not saying that you will fail and it'll be everyone else fault, that just means that it'll put you in a mindset that you don't need to do anything to improve. No matter what it is that you do, always strive to do better than what you're doing.
Another thing to consider is the benefits of moving somewhere else. Now you may have just read that and thought to yourself, "Well duh, i've already thought about it", but stick with me. You may have thought about the benefits of leaving, but have you thought about everything? Think about it. You may have thought about all the good things, but have you thought about what kind of sacrifices you're going to make to have those good things. Things such as cost of living, how fast you can make a living, and how much of your time you're going to have. Those are important things that you have to consider before anything happens. If you don't have a plan and some cash to get you by for a while, you'll end up back at square one and you'll hate yourself for not being prepared.
For this next point, I'll focus on videographers and photographers. It seems like everywhere you turn, depending on where you live, that these guys are everywhere. You may see some as pointless and you'll see others as super expensive. If you're an aspiring photographer or director, it's cool to ask these guys for some advice on how they got to where they are and some will actually care enough to share some knowledge with you. Others will just look at you and make you feel like you don't have what it takes. After a while you'll feel like in order to get some attention, you either need to step up your game or move to an area where the competition isn't so thick. That's where you really need to take a good look at yourself and make the right choice. Yes, some places may be easier to get some attention, but you may be sacrificing things like pricing and the amount of work you can get. Small towns can offer a loyal client base, but you won't get much work since those guys probably aren't willing to pay $3000 for session pictures. Big towns have the opportunity to get some high paying clients, but won't offer as many opportunities since you'll more than likely be competing against established people in that field.
Depending on what you decide, one thing is certain. You need to decide if you are willing to be competitive or be willing to have a low and erratic income. Whatever you decide, make sure that you are 100% ready to follow through with your decision. Sometimes it's best to wait to make that kind of decision until you have a client base that will continue to work with you wherever you go. Sometimes it's best to go find better clients in a different location. Either way, make sure the decision is best for you.