I’ll take the expensive town, because actually, it probably isn’t as expensive as you think, and your cheap town probably isn’t as cheap as you think.
Massing a population in a small area is more efficient, in terms of the environment and economy, and use of resources. Houses are built next to each other, reducing the amount of fuel used to heat. There is public transportation, reducing the cost of travel. You don’t even need a car, and if you do, there are always the car-share companies.
Your opportunity for quality education is better and you have many more options (although there are also more bad options). There is help nearby at all times.
It isn’t just the accessibility of entertainment. It is a whole host of other things. And, as I said, the amount of resources per person in the city is probably much lower than the amount of resources per person in the country. Ever wonder why poverty rates are so much higher in rural areas? Perhaps they spend so much more on basic needs that they have nothing left for anything fun.