Can't speak for universities in Europe, but I think a lot will depend on the kind of study abroad program you do. If the courses are essential to your major/degree, you will have to attend classes and not be so free to travel. If you've decided to make your study abroad experience into more of an adventure, then don't choose a program that will tie you down to your classes and assignments.
I'm currently studying abroad in Australia and from my personal experience and from other exchange students, travelling is great. The only major cost is obviously getting here in the first place, but if you're on the east coast of Aus, there are cheap buses that get you everywhere, people are extremely friendly, and you can get the urban environment with the beach culture, and if you're into more backpacking, there's heaps of outback adventures and hostels are really cheap but good quality and service.
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