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I think it's because LI has a lot more in the way of strip malls, sprawl, and chain stores than Westchester does. For some reason a lot of chains (Chili's and Olive Garden comes to mind) are not in Westchester, and for a lot of others, we are the last part of the NY area to get the chain (except for Manhattan), Wal-Mart, Home Depot, and PETsMART come to my mind here, they usually go to NJ and LI first, then Rockland, then Fairfield, then here. Chick-Fil-A and Sonic have put their first NY area locations in.....you guessed it....New Jersey, and I bet Long Island is next.
Both are equally expensive though. And I don't think LI is any more "pretentuous" than Westchester either, in some ways it may even be the other way around.
I grew up in Westchester and now live on LI and I approve of this post LOL. LI is pretty tacky...and Westchester is more pretentious :-)
I think an important difference is that it is easier to find an affordable house in a nice area on Long Island than it is in Westchester.
Both places have affluence though.
Long Island typically has better schools too.