cost of living, small weird homes/stuff, racists, annoyingness of different cultures/institutions.
oh bullshit. Please google for like 30 seconds and try and find a counter example.
http://www.realtor.com/international/search-listing/La-Atalaya_SP_CSP002642i0
As far as racists, you are clearly wrong unless you are talking about the scandanavians and I've already ruled them out because of weather. Nearly all of the places on your list are in my experience more racist than the U.S. (outside of the South).
The annoyingness of cultures: I get butthurt just thinking about living in a nominal monarchy, I don't put all that on them.
my connection is crap, so i'm not going to spend 30 minutes trying to google random houses. you can look for yourself if you like. for the most part anything in spain that you see listed in english is overpriced, but you also have to be realistic. you aren't going to find something cheap in a historic city center (although if you actually want to live in a condo on a golf course, buying in the iberian peninsula might be perfect for you right now). one-off examples either way is a Fake Sugar Dick (WARNING, NOT THE REAL SUGAR DICK!) way of comparing prices anyways.
http://www.encuentra24.com/espana-es/bienes-raices-venta-de-propiedadesas i'm sure you know, real estate prices vary a ton by region and city anyways, trying to compare the us to europe as entire entities is just ridiculous. there are places in each of those areas where you wouldn't be able to find anything you'd consider living in, and other areas where you can find something very reasonable.
but also, let's not pretend real estate is the same thing as cost of living. my wife and i lived in granada on about 1k euro/month with no problems and no sense of privation.
define racism. europeans are
way less obsessed with black/white. they tend to have far stronger regional and national (ethnic nationality, not patriotism) identities. that's not the same thing as us style racism. if i have to choose between the two, i far prefer the euro version.
you live in a country where the two political parties that control access to power will likely include the wife of a former president and a guy whose father and brother have held that office as presidential candidates in the next election. and you want to throw stones at ceremonial monarchs?
it's also weird that you'd consider mexico as your first choice but turn your nose up at all of europe. i'm not going to pretend that living in mexico is more similar to living in europe than to living in the us, because it isn't. but in some of the things you mentioned (weird annoying bureaucracies, institutions, "racism", etc.), mexico is more like europe than like the us.