Please people, stop it with the jokes. Yes, we delete comments. Yes, your comment pointing this out will also be deleted.
Answers to this question should be comprehensive and properly substantiated.
I can't speak to the other places you mentioned, but in the city of Rome there was a welfare system in place which certainly was not available in smaller towns: grain subsidies. The subsidies varied depending on who was in power, but they supported a large dependent population. The first politician to enact a grain subsidy was Gaius Gracchus in 122 BCE, allowing citizens to purchase a set amount of grain each month at a fixed price. When Sulla was dictator, between 82 and 81, he abolished the subsidy because it was a drain on the treasury, but this act was tremendously unpopular with the common people, and Lepidus brought the subsidies back almost immediately after Sulla left office. When Clodius was tribune in 58, he made the monthly grain ration free. So many people were reliant on the free grain that when Caesar became dictator in 45, he had to limit the number of rations to 150,000.
These political squabbles over grain tell us that there were a lot of people in Rome who relied on the government for food, who would have been completely out of luck if they'd lived in the countryside. Indeed, many people were forced out of the countryside, unable to farm because of military obligations to the ever-expanding empire. When the men of the rural families were drafted, the women and children had no way to support themselves, so they drifted to the city and began living off the state. Grain subsidies became a Roman institution, and to take away the grain was political suicide. The satirist Juvenal coined the phrase "bread and circuses" to describe this relationship between the politicians and populace of Rome.
Grain subsidies were such an important institution that when Constantine moved the capital to Constantinople in the fourth century, he instituted a grain subsidy there which fed 80,000 people.
Source: A Brief History of the Romans, by Boatwright et. al.
The other answers here have good information in them, but do not answer the question directly. So, straight from the horse's mouth (Juvenal III.223-231):
"If you can tear yourself away from the games of the Circus, you can buy an excellent house at Sora, at Fabrateria or Frusino, for what you now pay in Rome to rent a dark garret for one year. And you will there have a little garden, with a shallow well from which you can easily draw water, without need of a rope, to bedew your weakly plants. There make your abode, a friend of the mattock, tending a trim garden fit to feast a hundred Pythagoreans. It is something, in whatever spot, however remote, to have become the possessor of a single lizard!
Other bits like that are scattered in, essentially making the same complaints people in NYC do today. It is extremely difficult to reconstruct Roman princes for anything, particularly comparative data for cost of living, but there is no real reason to doubt that Juvenal is giving us good, if obviously exaggerated, information.
Follow up question, perhaps just for clarification:
Would living in a major population center like Rome have been viewed as attractive to people living on the outside? The cost of living in major cities is today high because of high demand brought about my the benefits of urbanization. OP's question seems predicated on the assumption that such a demand would exist in the ancient world. Did it?
EDIT: should clarify as to benefits of urbanization: Mass transit, quick access to both public and private services, modern plumbing, etc...
One thing to consider is that while one of the largest portions of current spending is on real estate, the farther back you go the less expensive having a house was and the more expensive buying food was. I strongly believe that the cost of Rome had much more to do with food than anything involving real estate, and that the simple fact that people were lured by a combination of paying jobs and the grain dole meant that people flocked in droves. Since many people have already discussed the dole, I thought I'd give you some context for the food price aspect.
For example, a general laborer (under the edict of Diocletian) might earn 25 Denarii Communes (a place-keeping currency whose value in relationship with the currency in circulation at the time changed constantly) but the maximum price for a Modus (8 liters of dry product) of wheat was 100 DCs. It's hard to picture something like that off the cuff, since we don't weight in liters, but as a comparison this trash can is about 15 liters.
Admittedly these prices are a maximum, but if the actual price of grain were even half that they would be absurd. Obviously you don't need 8 liters of wheat to eat for a day, so that purchase might be fairly infrequent- in fact, Barley would be cheaper by a lot.
As for meat, chicken was outrageously expensive at 80DC a pound, while lamb was more reasonable at only 16DC. That being said, to get a pound of some of the cheapest meat available would cost you 3/5 of your daily salary. At current working rates of 9 dollars an hour, that means that after a full day of work you would have the opportunity to spend 44 dollars on a pound of cheap-o lamb. You wouldn't be taxed on your 72/day dollar income, because you're a Roman, but the food prices would be gruesome enough on their own.
There's obviously much more to this than I've discussed. The price of seafood in comparison to distance from the sea, the lower price of food in the countryside, comparatively, etc, but the end result is that prices were high everywhere. Rome was very high, but they also offered you support in return for being politically sedentary, and most importantly the price of real estate was not nearly as significant as that of your daily caloric allowance. I know this wasn't quite what you asked, but since the rest of the sub has given you strong answers in other directions, I thought I'd throw this in as frosting.
Adding on: Were there real estate agents/agencies?
Follow up question: How did the cities pay for infrastucture like aquaducts, bridges, etc? Property tax? Sales tax?