Well, I would love to live in the Soviet Union at any time when Gorbachev wasn't the General Secretary. Really, sometime while Lenin was General Secretary would be preferable. For some reason, living in a place with such strict laws has always appealed to me, however strange that is. Not to mention the fact that it was a communist country, which is really reason enough to want to live there.
As interesting as it would be to experience the Cold War, it probably wouldn't be the best idea to stick around then. Not with McCarthy as senator. :/ And living during World War Two, while that would be interesting too, I can't say it would be the safest time to live.