The first things to come to mind were:
The Culture from Iain M Banks’ books. Technology to the max, nearly infinitely prolonged lifespans, decadence everywhere, and a chance at a stint with Contact if I got bored.
Belkevin reporting to the Vale of Aldur.
Or maybe I could move to Shermer Illinois, where all the honeys are fine, and all the guys are pussies. Except for Judd Nelson, he was harsh.
El Hazard seems like a nice place, and there are plenty of beautiful women around. The Eye Of God could present a few problems, I suppose…
Oh, and as long as I could be a Sartan before the Patryn decide to start fighting back, the Death Gate universe seems like an interesting place to live.
Discworld of course.
I’d like to live in Ankh-Morpork, maybe get a job with the watch.
Or the fantasy land of porno movies, where nubile girls have sex with random men at the drop of a hat… any hat.
Actually, since it theoretically encompasses all worlds, Heinlein’s multiverse shouldn’t count.
I am surprised that no one picked Mercedes lackey’s Valdemar. It has been and probably always will be my favorite.
Middle Earth, as Goldberry. Or the Hundred Acre Wood, but the Milne/Shepard version, not the Disney farce.
Amberites have to go through too much crap. I’d want to live in Chaos, but only if I could be a Lord of Chaos and assay the Logrus.
Truman’s world. You know, from The Truman Show.
i guess i’d have to be stupid and choose Enid Blyton’s
“The Enchanted Wood”…well, i guess i’m still kinda enchanted by it…the characters…the sweets…
But RTF, it might be a silly place, but you could be my Knight in Shining Armour
I’d also like to live in Narnia. Pretty classical example of a fantasy world, it has it all: castles, magic, talking animals. I’d especially enjoy the talking animals. 
As a cat lady, my cats would be much better company!
Highborn of Oceansend.
From Mark Oakley’s Thieves and Kings.
Extremely nice place. Adventures only seem to happen to the main characters. Everyone else is living a good decent happy life in a world with magic and wonder. Definitely my choice.
The Vale of Aldur crowd if they would let me in (it might get crowded in there),
but i have more of an affinity for the world of Wheel of Time, either as an Aiel Sept Chief (i like the dragon tattoo on the arm idea) or one of Rand’s Asha’man.
“The Little Mermaid” world, where hot teenage mermaids would throw themselves at me… 
Well, Xanth would certainly be the most fun (even if I did have a dinky talent), but Middle Earth, Prydain, and Narnia will always have a special place in my heart. Interesting to note, several Narnians in either Prince Caspian or Voyage of the Dawn Treader, I don’t recall which, mention that they’d love to live in our “fantasy world”. I suppose that, when you get down to it, life really isn’t much different anywhere.
Rilchiam said: “Middle Earth, as Goldberry.”
Who was Goldberry already? Tom Bombadil’s wife?
Arnold: Yes. I would like to be Goldberry, as opposed to Galadriel or Arwen, because Goldberry doesn’t have the responsibility of rule. She’s known far and wide for her beauty, charm, domestic skills, and general terrific-ness, and she has a husband who can’t do enough for her. That’s the life for me!
3 worlds off the top of my head:
Star Trek- I think it would be neat to be stationed on DS9. Or on the Enterprise,of course.
Pern- I want to be Jaxom. Always have.
London below from Neil Gaiman’s book Neverwhere. A fabulous book. Read it now, not later.
Tengu say:
I wondered if anyone else was thinking of that! I was going to say not the Well of Souls, but New Pompeii, and only if I get to be the guy in charge of Obie.
Endless fun, and if I ever got supremely bored, I could always head to the Well of Souls and start over.
ultress - settle for a foot rub at the Summer Shindig? 
Why choose?
Live in the Star Trek Universe, and then spend your time in the Holodeck–then you can play in any fantasy world you want.