First, I would cry really hard because I would love to go to Ancient Rome, but I would get my ass kicked because a. My spoken Latin isn't fluent (whose is?) and b. I'm female, so it's not like anyone would listen to me anyway if I told them I came from the future and I have knowledge of all sorts of wonderful stuff and hey, Cicero, don't let your your wife marry your daughter to that jerk.
I think I'd enjoy First Nations life, but I'd pick a time long enough ago that the European explorers wouldn't bother me. Such an uncomplicated existence. I like balance.