Truth be told, I don't know if I would want to live in most video game worlds. The more I think about it, life in many places depicted in games would be so simplistic and dull that there really wouldn't be a lot of excitement, and not much to look forward to day after day. It's worth noting that many of these worlds only seem interesting, because the player tends to take control of the hero, who is the only one who gets to have an enjoyable time. He or she can enjoy the idyllic surroundings of that town with an inn, because he will immediately follow it up by going to a far more interesting dungeon, and fight some demons, then coming across a different town that may have different scenery and architecture.
Living in a video game world wouldn't automatically mean being the hero and/or having the capability to fight sometimes terrifying creatures. Therefore, I'm going to have to assume that I wouldn't be the hero and would be subject to whatever mundane life is like in that world. As such, I'd probably either like to live somewhere there's at least interesting architecture such as those depicted in some fantasy JRPGs, or something a lot more mundane, in which case I could probably just find a real life location to settle down in, and wouldn't have to settle for fantasizing about a place that doesn't actually exist.
If I am to compromise though, I suppose I would probably go for something like the Persona universe, and not because I think I'd be lucky enough to be one of the chosen few who can wield a Persona and access any kind of shadow realm. No, I would simply be in a facsimile of Japan, which would be awesome in and of itself, and it would be a world where everyone speaks fluent English, and most of the time, when I try to read Japanese text I don't understand, some subtext would pop up in English, thus saving me from having to go through the arduous process of likely never truly getting down the infernal Japanese language. There would still be a chance I could conquer my shadow and awaken to a persona too, so that would be pretty lit.