What makes it worth it? That's a good question. It's a big economic question. People will say, "Milk costs more but you make more so it's the same as a place where you make less but milk, say, costs less." That's not true. The milk, for this example, in Switzerland is so much better, higher quality, etc. So it's not an apple to apples comparison. Plus, when you're buying non-local items, such as any electronics, for example, or you're saving/investing or you travel, now your higher salary is paying off.
Edit: P.S. This is a rule of thumb I live by, having lived and worked in five countries: all things being equal otherwise (meaning personal preferences should be considered first), always always always go for the higher nominal income. Be careful in putting trust in things like PPP.