They each have their highs and lows.
I spent eight years living in a small town (population ~1,100), and I loved the freedom to walk out in the yard naked and piss on trees, and knowing the shopkeep well enough to be able to forget my wallet, still pick up a gallon of milk, and catch them next time.
Of course, having to drive >15 miles to the nearest supermarket or gas station was a hassle, especially if they forgot to plow my road. That and 28.8K dialup (in 2008!) sucked.
I grew up in a small city (population ~24,000) and it still had some of that small-town feel but also had a few more amenities. However, I had to indulge in most of my hobbies via mail-order, and even as of two years ago, the availability of broadband internet was spotty.
I currently live in the Seattle area (population ~3,400,000 for the entire metropolitan area) and while it is nice to have everything I want within a fairly short distance, I feel alone despite living in the same building with at least 100 other people. I am isolated, yet I would be arrested for pissing in teh front yard like I did back in NH; interesting paradox.
I like having a supermarket close enough to see from my bedroom window, but I hate the traffic. It wouldn’t be so bad if people actually knew how to drive, as people back East do, but instead I am surrounded by incompetence. I love the diversity; I can have Pho, real Mexican food, Indian… soemthing other than home-cooking or McDonalds.
All in all , it’s a wash.