Oooh I like this question! I think I would like to be in the world of the "Golden Compass" (by philip pullman). In the books, everyone has what is called a daemon. It's basically your soul in the form of an animal that reflects your personality. It can talk to you and be your companion. It would be cool to find out what kind of daemon (probably a cat) I would have and the daemons of my friends and family.
I was also going to add "Animorphs" to this list but now that I think of it maybe not.
It would be so cool to be able to turn into any kind of animal you want, but it would be horrible to know that you or a loved one could turn into a yeerk mind-slave.
I don't think it's worth living in a world like that.
Edit: Oh and the Avatar universe would be fun to live in! I would really love to be a water bender.