Living in a big city is very different from living in a small town. I have always lived in a small town, but this year I have moved to Murcia, which has been very difficult for me. That's why I think I am experienced enough to compare both of them.
On the one hand, big cities as are more crowded, there are more things to do. For instance, here in Murcia, there are a lot of shopping centers, etc. This also means that you don't know everyone, and that there is always someone new to meet. However,there are alarming levels of pollution in big cities because of the cars, industries, etc.
On the other hand, as small towns aren't so crowded, there is nothing to do and you already know everyone. Moreover, in smal towns there aren't as many cars and we can actually feel how the air is cleaner.
In conclusion, they both have advantages and disadvantages. But as I said, living in a big city is more interesting since there are more things to do.