Well, I don't have a single favorite, so I'm not sure where I'd be. However, if I wound up in any game I like, I would be screwed, as I currently have zero combat training.
If I woke up on the Normandy, I'd probably hang out with Garrus and bang some Asari chick before I got blown up/captured/shot in combat.
If I awoke in the Capital Wasteland, I would panic for about five minutes, then pull myself together and make a beeline for the nearest settlement to plan my next move. I'd also buy a gun.
And if I wound up on the war-torn planet of Sera, I would just cry, lie down, and pray that the Locust hordes would grant me a slow death.