It's probably because it's culturally similar that I don't see the point in going there. It's like the UK, but not as good (IMHO). Going to New York is good because I get to see mates, but for me London has a lot more to offer, is easier to get around and is certainly a prettier city.
I don't understand you point about there being more to do and see, sounds a bit 'grass is greener' to me. As for cheaper, everything is relative. It's cheaper for you when you live here because the pound is so strong and because the UK is generally slightly more expensive. However, that situation could change relatively quickly.