Depends if you own your own  home at current job/state.  If no....I would see how much cost of living around new are vs the new salary you would be getting. See if it would balance out and see if you would really be making more money.

 If you just wanted to stay where you are at but make more money....hopefully your current supervisor would want to keep you and offer a counter offer...may not be as much as new job...but could possibly make a little more money at same job. 

Hope this helps!