Well... they have a few advantages I suppose.. fast travel, your class and professions is your job with unlimited number of people able to do it, you get money and cool new stuff just by killing bad things, you can have tons of pets and things/creatures to ride without having to care for, feed, of fuel up any of them ever. You're born as an adult, skipping those awkward years. Your gear may weaken but it never tarnishes or gets dirty, and your hair is always perfect...no matter what race you are! Some simply have bad taste in hair styles.
Although they have some serious down sides. Giant freaky creatures that should not be giant. You have no actual home. (Ok, yet.) No indoor plumbing other than the odd random sink, you've been wearing the same underwear your entire life, your buildings and rooms have NO doors. You might just be a simple peasant who stays close to home and yet somehow you end up involved in the war. When you're a ghost, you can't even fly. In some magical places you can be in shallow water and risk drowning. Some invisible force has made you jump off of high places or do other stupid and deadly things against your will - repeatedly. Etc etc etc...
As they say, would be a nice place to visit but prob wouldn't want to live there.
When I first played WoW, I utterly obsessed over it and practically lived there anyway. I got up at 05.45 and was at work at 07.00 - then I browsed the forums at work whenever I got the chance (practically 50% of my time). Then I got home around 16.15 and logged into WoW until 0.00/01.00 (yes that late) and repeated the same process the next morning. Then on the weekends I would sleep like a mofo... but went to bed around 03.00 until about 15.00 and then played again until 03.00. So yeah I spend almost all my time in there. And I lived alone, had my food brought to the house.
But at that time yeah I would want to live in WoW, ofcourse not if I would die and not come back to life. Nor would I actually go "raid" and wipe all the fucking time. I would never do that. I'm not a masochist.
But if you asked me that question from the end of ICC towards now, I would def. say no.
No I don't mean like living in the actual canonical setting of Warcraft, but I mean like literally living inside the Blizzard created MMO, where the character you controlled is now you. You now exist on the whim of Blizzard's designs and creations, where while everything seems fun and nice, you are now bound to this world unless Blizzard decides to shut down the servers, and if you die, you're done.