i recon its important to broaden your "porfolio" as much as possible, and moving around the country to different uni's is the perfect way to do that. by meeting new people, making new contacts, working in different labs e.t.c., you will be more involved with the national/international academic community.
Obviously, it is scary settling down in a new uni...there's no one who finds that easy. But just because its daunting, it doesnt mean you shouldnt do it.
I suppose its different for every1. You may have found your perfect department/supervisor/research area at your undergraduate uni, which may mean its a good idea to stay at that uni. Many factors need to be considered and balanced before making a decision like this.