Nathan Bransford asked this question over on his blog a few days ago. I've asked this question in my interviews before. Would you live in an SF/fantasy world of your creation, someone else's world?
Several commenters on Mr. Bransford's blog mentioned Harry Potter's world (or more specifically Hogwarts), while others mentioned Tolkien's Middle Earth.
Both seem like good choices. I don't think I'd live in either. I already live on Earth, and I doubt magic would make the world a better place. More interesting, but not necessarily better. I imagine the wizarding community would actually take over and have puppet human governments they control.
As for Middle Earth, after Sauron's dealt with the Elves leave, and they're my favourites, so the world wouldn't be as much fun. And before he's killed... things are just too dangerous. Everywhere. It was one of Tolkien's more brilliant actions that the war in Middle Earth affected the entire world. Nowhere was safe, not even the Shire. I could do without that kind of stress.
So which fantasy world would I live in? (I'm leaving out SF because I've always been a fantasy lover.) Most modern day fantasy worlds are fun to visit but I would never want to live in them. They're too dark and gritty. The problem with all worlds though, is that something bad's happening there (or else there wouldn't be a novel set in the place).
The other concern is that in most cases, living in the world would only be good if you were in a certain class or group. Pern, for example, would only be a great place to live if you were a dragon rider. Or maybe a harper. But who'd want to live there as one of the beholden peasants?
So, if I could choose my place in life, the world of Elantris, either after the events of the book or before the Elantrians were cursed would suit me. As long as I could be an Elantrian and use magic.
If I couldn't choose my race, then I'd like to live in Terry Brooks' Shannara world. I 'lived' there during much of my high school years anyway, so it would be rather familiar. It's a world wherein the problems were fairly localized, so the rest of the world could be extremely peaceful while the Shannara scion went to save it. It also has many places I wouldn't mind living. I'd be an elf there in a snap. Or live in Shady Vale, or even around Rainbow Lake. This is the world that made me fall in love with fantasy. I think I could be quite happy there, even as a peasant.
How about you? What fantasy or science fiction world would you choose to live in? And what race/status would you want to be/have there?