Obviously, I chose to live in a "Blue City" (nearly all large cities are "blue"). It really has no impact on my life, at least nothing surprising. I'm not sure a "conservative" Mayor et al. would change much of anything I can discern. They'd probably make noise about cutting taxes, but that would be reflected in cutting spending (which no doubt is wasteful, but probably would be under conservatives as well).
The "red-blue" schism, to me, seems to be mostly irrelevant on a local level. I voted for a very liberal mayor in Cincinnati because we were friends and she was competent. I couldn't think of anything she'd do that would be "liberal" in a small village anyway. (She lost.)
Could I live and thrive in Madison? Except for the winters, I suspect I'd be fine.
I once had a notion of moving to Florida, buying a cheap condo, living a year and converting all my retirement to Roth IRA stuff, and then moving to California. The math didn't work very well for me. The Feds would tag me pretty hard.