I would not recommend Bridgeport if only for the fact that traffic in the morning coming down 95 or the Merritt Pkwy will be a nightmare. Anywhere between Stamford and Westport should give you under a 25 minute commute. People say Norwalk is a little cheaper, but honestly when I've looked it's never been that much different in price. A few years ago I lived at The Curb on Glover Ave. It's really nice and super close to ASML but I know they've jacked their prices up since I left. They did have a slight discount for ASML employees at least when I was there, so it might be worth a look.

If you've never lived anywhere with a true winter season it will definitely be a change, but I wouldn't be too paranoid about seasonal depression. My advice would be to keep busy, which is definitely more difficult when the weather isn't so nice. ASML hires a lot of new grads and there are a lot of internal clubs and activities, so it shouldn't be too hard to find a group with similar interests. PM me if you have more questions about ASML.