This paper explores happiness among migrants and stayers in a number of European countries, investigating individuals from eastern European countries who went to western Europe. Migrants generally appear to be happier than those who have remained in the countries of origin – but there is evidence that this difference is the result of a greater tendency towards migration among people with higher levels of happiness (thus not a matter of happiness increasing as a consequence of migration). In addition, there is significant variation by country: migrants from Russia, Turkey and Romania are happier than stayers, but migrants from Poland are significantly less happy than stayers. Models that determine whether a correction for endogeneity is necessary suggest that those country-level differences represent increases and decreases (respectively) in happiness.
That is from an interesting paper by David Bartram (December 2012). I like the conclusions. The title is "Happiness and ‘Economic Migration’: A Comparison of Eastern European Migrants and Stayers."