If I were to pick one Zelda world to live in, I'd probably select A Link to the Past's Hyrule. I have a few reasons. It's pretty much one of the most peacefully established Hyrules out of the series. Aside from Agahnim's coup within Hyrule Castle and his subsequent search for Zelda and Link, nothing was really wrong, and if you were to take that same area either before or after the events of ALttP it would have been a lovely place. Nice wilderness, with some settlements... just a good country.
If I were to live in a fantasy world, like that of Zelda, I'd almost certainly live as a traveling merchant of sorts, adventuring and exploring (perhaps doing jobs as a mercenary) and just looking for interesting stuff in the places I go to. I'd later sell that stuff for profit and earn a living that way. ALttP's Hyrule is ideal for this, not only because it has a reasonable balance of peace, intrigue, and danger, but also because of the Dark World. Assuming I figured out a way in, that place has many strange things to explore and I'd likely dig the dark and creepy atmosphere. I wouldn't live there, but I would travel there often. Sure there's dangerous monsters, but assuming I was capable of handling myself in a fight, and I'd have to be to live in Hyrule and wander around, I'd actually probably have fun in combat with objectively evil beings like the monsters of the Dark World. It wouldn't be morally questionable to kill them at all. And I could get into combat and violence if it was safe enough for me and there was nothing immoral about it; action is a thrill.
There's the question of turning into a pathetic creature in the Dark World, but I don't think I'd have too much trouble with that. The form you take on in the Dark World reflects what's in your heart, your truly core personality traits, and while I consider myself an overall good person and friendly, I do have harsh attributes and convictions and I think I'd wind up with a form that would be at least adequate, if not particularly desirable.
</puttingtoomuchthoughtintoit>