Sure, lots of people do it. My ex-girlfriend did it not to long ago. She had a place to stay till she found a job. Now she lives somewhere she wants to be.
I'm going to do it as soon as I get my car paid off (2-4 months). I know someone out in California and I am gone. I may join the Coast Guard, I may get a teaching degree, I may get another crappy call center job, but I love the idea of moving to a different state.
I say do it now while you have nothing holding you down. It has got to be so much easier than trying to wrangle a wife and kids along (not that it can't be done even then). I think if you have nothing keeping you in a place, it would be pretty hard to fuck yourself over just by moving. At the very worst you push back having a nice job or a family (or whatever drives you) by a few months while you set yourself up in a new place.
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This too shall pass.
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