A recent study by the Urban Land Institute, with the great title of "Bay Area Burden: Examining the costs and impacts of housing and transportation on Bay Area residents, their neighborhoods and their environments" (I'm wondering, can I use a URL shortener on this?) demonstrates that living close to jobs and errands reap benefits in terms of cost savings, which mostly relate to availability of public transportation in the city (and therefore reduced transportation costs), shorter commutes, closer proximity to stores and services for services (and the ability for many to walk to many places they need to go) and reduced energy costs and carbon footprint for housing (because housing in the city is more densely packed and more energy efficient). 

Those living in San Francisco benefit from lower transportation costs, and in many cases, lower housing costs. (The study does include rental rates which are artificially low because of rent control).  And I would also add, amazing quality of life--great weather, great locally produced food, proximity to nature, great restaurants, diverse, interesting people, great schools, amazing culture.  

There is other great information on the Urban Land Institute's website, and also a very cool tool to help you calculate your costs