If I was regular old me, definitely Pokemon. I've dreamt of it since I was a youngster. It would be the perfect world, so long as it's not exactly like the games. More like the anime. Me and my Pokemon... not a care in the world...
But if I would be like the main character of the game than I choose Saint's Row 2. It's a lot like the world we currently live in, except I would be borderline invincible, have a private army at my disposal, and various expensive cars, boats and aircraft. I could do whatever I wanted and the entire city would be my playground.