Cities and states screw things up too, of course.
If your city, day Chicago, gets completely infested with dirty politicians for years and they royally score things up, or start tapping your phone, you can get the hell out of Chicago.
You can also directly affect local politics in a way you can't affect Washington so easily. It's much easier to keep on eye on the guy down the street than some guy thousands of miles away in Washington. I even considered running for an office in my county, and I probably would have won. There's no way I'll ever win the presidency. I can damn sure win a seat on the school board, though. Since I can be on the school board, but I can't run the department of education, local control is inherently more democratic.