Would I want to live on the moon or Mars or something in the actual plausible future? With the level of development that is likely to occur in my lifetime, at least, probably not. Maybe as a retirement home when I'm really old, if they have such things (lower gravity being a lot kinder to old bones), but other than that, no.
Would I want to live on the moon or Mars or whatever far enough in the future that they've had at least a century or so to work out the kinks? It wouldn't be my preference (I like nature and green things and such), but it probably wouldn't be any worse than living in a really big city on Earth, so if I had a choice between, say, moving to New York or a moon base, I might pick the moon base.
Would I want to live on a newly discovered or newly accessed Earth-like planet? That would probably be pretty cool. Whole new set of biology to discover, frontiers often have exciting new job opportunities, and so on.
Would I want to live on <insert specific science fictional planet here>, if I could access same? For a lot of them (eg Beta Colony from Lois McMaster Bujold's work), yes. For a lot of others (eg Dune from Frank Herbert's work), probably not.