1) Define "cheap". You're in the Bay Area, which is by every definition the opposite of "cheap", but substituting that with something like Seattle or Austin or Brooklyn doesn't sound like it's accomplishing what you're looking for to me, even though it's absolutely cheaper. You said you want to focus on your own intellectual pursuits, so are you planning to quit your job and just try to pick up freelance gigs here and there to pay bills or live off your savings or what?
2) Related to #1... if you plan on quitting your job and just freelancing it or living off your savings, you're going to run into visa issues if you move abroad. If you're planning on finding a job somewhere else that heavily impacts the situation - it needs to be a tech center that offers other options that will sponsor you. What's the intention here?
3) What non-work features/perks/requirements/options are you concerned about? Middle of nowhere Kansas is one of the cheapest places you could possibly find in the US, but it's absolutely not for everyone and won't work out if you like having new restaurants opening every week, going to museums, and the other little things a big city provides to add variety to life.
4) Living in the Bay Area means you're used to cool and rainy but still mild weather year-round. Do you think you could deal with snow and wind with temperatures well into the negative? If not winters in Northern Europe (and, realistically, a lot of the rest of Europe) are going to be a problem. Not a fan of humid and stagnant with no air conditioning? That's going to mean the Caribbean, Central/South America, and parts of the Pacific aren't going to be an option - it's not standard there because of the power requirements. If you end up somewhere with a drastically different climate that can completely destroy your motivation and mood, which could be a deal breaker.