We don't live in Cincy but do live in Indiana only 30 miles away and go into Cincy all the time.
Living in OH or KY would depend a lot on where you'd be working. If working downtown that's one thing, but if working out more, than driving from KY could be a real hassle. Traffic can get real bad during rush hours and with only two bridges to cross can get backed up. I personally would not want to drive through the downtown traffic everyday to get to work. There's also the two bridges for the interstate loop (I-275) but they're quite a ways from the city itself. The loop on the West side, going from KY actually goes into Indiana before it curves back into OH.
If you'll be working anywhere near the West side of Cincy, then Indiana could also be an option on where to live.
Like any large city, Cincy has good spots and bad spots. Several really nice malls, good restaurants and such. If you like theme parks, Kings Island is not that far out.
Also, like Rome, Cincy is built on 7-hills. There's a lot more up and down than you would have thought. All part of the Ohio river valley carved out millions of years ago.
Can't answer the cost of living but do a Google search on cost of living and you'll find some nice sites with lots of information for anywhere in the US.
If you have any specific questions, PM me and I'll try to answer.