Welcome to the Café!
I have heard that it is the most expensive city in Spain, but I really don't know.
You can get a feel for the cost of rentals, etc. by checking out sites such as
LOQUO and
Segundamano. Those are also good places to start your search for a job there as well.
Do keep us posted on how things are going for you, and if you cannot find the answers to any of your questions after searching the forums, then by all means, ask!
Saludos,
-R