If I transfer to another university...

...Do I have to leave the country and apply for a new visa from the states?

I am unhappy with my university, and am trying to decide if I want to just stick it out for two years and get that (very expensive) piece of paper, or if it's worth all the paperwork and possible travel to sort out a new uni, new visa and U.S. financial aid...

If you make a straight switch to a new institution under the Student Visa rules you need to notify the Home Office.  However, this is different under Tier 4, which starts at the beginning of April, and you would have to make a new application, though from within the UK.

The criteria for Tier 4 are very strict, so make sure you know the pitfalls before leaving your current course.

Vicky