There are too many worlds to choose from...since I can't come up with a musical that would actually be a practical "place" to live, I'll say
The Phantom of the Opera for my own sentimental reasons. I've always wanted to be right in the middle of all the action at the Paris Opera House.
I'd probably also want to "live in"
Rent...can't imagine it would be too terribly fun, but I do miss those final days of dirty New York, circa 1995.
"If there is going to be a restoration fee, there should also be a Renaissance fee, a Middle Ages fee and a Dark Ages fee. Someone must have men in the back room making up names, euphemisms for profit."
(Emanuel Azenberg)