I'm pretty happy about not living in a small town. When I want fresh sushi or Indian food or a hot dog out of a cart, I heart NY. When bands that I like that aren't that famous go on tour, I can still see 'em in the city -- and I don't have to make it a road trip. When I order stuff from buy.com in the morning, I usually have it by that night. When I want to meet new people, there are lots of them around.
Living in a small town can be nice, I guess, if not locking your car is a priority.