I actually think living in an English speaking country might, paradoxically, make living abroad worse. If you're moving to a non-English speaking country, you fully expect to experience a different culture and lifestyle. Whereas if you're moving to an English speaking one, you will likely come into it with some expectations of similarity even if you don't consciously realize it.
As for what's so different. Well, in western countries a lot of the superficial stuff is the same (tv, movies, celebrities, etc.) but most of the core stuff is different. A country/culture strongly shapes the values that its people have. For instance, norwegians cannot be inside on a nice day. It may sound silly, but it just eats them up. They also inherently trust that the government makes reasonable decisions and, even when they disagree with a decision, they believe that it was probably reached fairly. Those are just two minor examples, but imagine how a conservative from Florida would feel living in a society that reinforces both of these ideas constantly.
I could go on for a while about this, but it's probably already entered tl;dr territory.