Hard to say because there are a great deal of game and/or book universes I would like to live in. The top ones are:
1) Final Fantasy (any I suppose but preferably 7, 8 or 9's universes) because I love the stories and I want to be able to summon humongous monsters down from the sky. Especially Bahamut...he rules. As for who I would be in Final Fantasy multiverse, I would hang around with the main characters because they have the all the cool adventures and I'd hate to get given the choice of living in any universe I want to and get stuck as some homeless dude in the slums of Midgar (especially sector 7 *grimaces*).
2) The universe of Warhammer 40k, where I would be a Space Marine...a Captain, Chapter Master or Psyker for preference (Like a Psyker Captain). As for which chapter I would be in the Dark Angels, Blood Angels and Black Templars are all cool (although if I was in the Black Templars I wouldn't be able to be a Psyker) but I like the idea of having my own Chapter.
3) The Discworld universe. I'd want to be either a Wizard (got to love an institution where all the senior members are mad, lazy and so old they no longer care what anyone in general thinks of them) and get to spend all of my time "learning" (see: lazing around doing a whole lot of nothing in particular and eating) or I'd want to be a Witch because they're awesome. And yes...I'm fully aware that Witches in the Discworld are all female but I refuse to let that stop me, I'd go sit outside Granny Weatherwax's house (best Witch ever!) until she agreed to teach me.
there you have it...universes...woo