The problems with past times is that they're always lacking in things we take for granted and would have a hard time living without, at least if we knew what we were missing. If we weren't we wouldn't know to be happy about the time we lived, especially not with all the problems of past ages.
The romanticised image of the middle ages is great, but they were called dark ages for a reason. If you retained your knowledge you'd most likely be burned as a sorceror, if you tried inventing comfort from today too. Then we had the plague, and not very much food. If you're lucky enough to be a noble and get some medical attention you'd be better off with suicide.
The same goes for many other ages. Sure, ninjas and samurais were cool, but you'd live in almost constant warfare, and no matter you're rank (unless you're emperor) you'd be not much more than a slave.
Pirates, don't even get me started.
Greece, roman times, is probably a pretty good bet. You have a society that (mostly) values knowledge, and is pretty refined, you have working medical procedures (better than most other times), you don't have to fear war as much, or getting gunned down by mobsters, you won't have to deal with homophobia as much as in other ages (unless in some (most) cities if you're female). But especially the romans ate pretty disgusting food, and their life expectansies weren't too great.
Taking all this into consideration, I think it would be pretty nice to be a native American before the arrival of the new ones. Cherokee, or one of the horse tribes that I can't remember the name of, perhaps.
The vikings were also sometimes a people that would be pretty pleasant to live amongst. Especially the Swedish vikings, who traded more than they thought. The norwegian ones that discovered Vinland (America) would be pretty nice as well, but they were usually more aggresive. The problems with the vikings were their disregard for the value of human life. Many people were killed in sports (one popular sport was for one village to raid the other, all for good fun, and not seriously, they wouldn't take any goods, but they would fight and with real weapons, not with the intent of really hurting or killing, but it did happen) for example. The advantages would be that they were very concerned with hygiene, when compared to other groups at the time, and that they had an abundance of food and trade goods.