There are not many fictional universes I would like to live in. Many of them tend to be crapsack worlds where even the tough stand a reasonably large chance of being ripped limb from limb.
I'd quite like to be a Hero from Fable II as it'd mean I couldn't die painfully.
Most childish franchises could be quite good place to take up residence in, many of them lack a serious tangible threat to me unless I happen to be in a plot-advancing area.
Universes I would like to avoid, even if I got to be something cool would be (In preferential order from least desireable to most desireable):
Warhammer, both flavours: Too many ways to die horribly and/or be turned into an "And I Must Scream" eldritch abomination.
Anywhere based on DnD: A universe where a housecat can kill the average guy on the street 25% of the time if it gets the drop... is one I'd like to avoid.
Anywhere written by Stephen King
Anywhere written by or based on the works of HP Lovecraft
Fallout: Do I really need to explain this one?
Half-Life: The world has been invaded by 2 waves of alien monsters, the first wave has ruined the ecosystem and makes it unsafe to go outside (or stay inside) the second wave has taken over and is systematically stripping the planet of resources and wiping humanity out. Even as Gordon Freeman I wouldn't enjoy having to live here.
Star Craft: Between the Facist humans, Omnicidal Zerg and Fanatical Protoss... no-where here is safe.
Terminator: Machines rule the future and send back assassins to kill off the hope for the survival of humanity, when the future finally arrives it's a bleak uncompromising place where machines gather us up with big claws and put us in flying cattle-trucks.
The Elder Scrolls: 1-3 are to an extent, crapsack worlds where I'd be in danger every time I left my house and quite often when I stayed in, 4 is just so damn wierd, everyone's obsessed with mudcrabs and the continuity would suddenly change completely in the four or so years since the end of 3... and it's still a bit of crapsack world.
Warcraft: No-one's really sympathetic, everyone likes to kill each other, between the Alliance, Horde, Old-Gods, Scourge, Burning Legion and those blood goblins in Booty Bay I'm dead one way or another... the chances are I'd be ganked by an Undead Rogue... unless I was a Raid Boss... then I'd still be ganked by and Undead Rogue, just he'd bring his mates.
Halo: Humanity is on the verge of extinction, an omnicidal zombie-form is somewhat at large in the galaxy, aliens exist but the vast majority of them like to kill humans for kicks.