Two recent studies have compiled lists of the most expensive cities to live in, measured by cost of living.
Mercer Human Resource Consulting's Cost of Living Survey--Worldwide Ranking 2007
1. Moscow
2. London
3. Seoul
4. Tokyo
5. Hong Kong
6. Copenhagen
7. Geneva
8. Osaka
9. Zurich
10. Oslo
11. Milan
12. St. Petersburg
13. Paris
14. Singapore
15. New York City
16. Dublin
17. Tel Aviv
18. Rome
19. Vienna
20. Beijing
21. Sydney
22. Helsinki
23. Stockholm
24. Douala
25. Amsterdam
26. Madrid
26. Shanghai
28. Kiev
29. Athens
30. Almaty
31. Barcelona
31. Bratislava
33. Dakar
34. Dubai
35. Abidjan
36. Glasgow
37. Lagos
38. Istanbul
39. Munich
40. Frankfurt
41. Birmingham (UK)
42. Los Angeles
43. Luxembourg
44. Brussels
45. Abu Dhabi
45. Berlin
45. Dusseldorf
48. Taipei
49. Prague
50. Algiers
A similar survey was also done by the Economist Intelligence Unit, but so far I've been able to find only summaries of the list rather than the actual list. From what I can glean, their top 5 looks like this:
1. Oslo
2. Paris
3. Copenhagen
4. London
5. Tokyo