It's not hard to understand why we sometimes think "Hey, I'd love to live in that movie," because after all, what are movies but escapism? We have to give ourselves to the movie for a couple of hours, to that world and those characters. So even if we don't realize it as we're watching the film, there are movies that we "like" better than others because of the world. That's not to say that if Night of the Living Dead is one of your favorites that you want to "live" in that "world," of course. Our favorite films might not even come into play in making such a list.
As it so happens, four of the films I'd like to live in below actually are on my favorite films of all-time list. The other three aren't, but their worlds mean something special to me.