Before going in Norway, I read an UBS survey which presents a comparison of purchasing power around the globe. Here is a summary:

Price comparison
Oslo, London and Copenhagen still most expensive
Low dollar welcomes tourists in the US

Purchasing power
Highest purchasing power still awarded to Zurich

Since I've been in Oslo in March, without surprise, this is the most expensive city in the world.
One surprising fact, is that this town is still welcoming a lot of students each year. But it could be explained by the great openness of the country and, more precisely for interns like me, by the openness of Norway's companies.

Here is the survey web page; you will find pdf version in english, french and other languages.