Well, my first choice would be my own mind, where I have created my own universe, but I don't think that counts.
Any imaginary world? Oh man, that's tough. I'm going to assume that I would still be an average, every day person, so I'll be practical. Though, there are still a few I'd pick.
One would be the Pokémon world. I could still live life as I normally do, but I could have a Pokémon companion or two. It'd be fun having Pokémon for companionship, especially because I'm by myself a lot. I'd probably choose an Eevee or a Tediursa.
Also, I would LOVE to live in the world of Megaman NT Warrior/Rockman.EXE. It'd be really neat to have a net navi friend to talk to while I'm on the computer, help me with my homework, etc. Not to mention Net Battling. I think it would be lots of fun.
I think it would also be fun to live in the Kingdom Hearts universe, Hollow Bastien and Twilight Town specifically.
There are actually a LOT of other worlds/universes I would love to live in, but not as a regular person. For example, Krynn(Dragonlance), Gaia(Final Fantasy VII), the Naruto world, and many others. But as an average person, these worlds wouldn't be all that exciting.
-Mist