There are a lot of very entertaining settings which are okay provided that you're not in danger or at the bottom of the scale: Gormenghast, William Gibson's Sprawl setting, the Fallout world or the Space Captain Smith books for that matter. (A friend once pointed out "They're only funny because the good guys win - and the lemming men would be terrifying".) I think it's got to be somewhere where you could have a decent time no matter where or who you were.
There's not a lot of places like that. The main one that springs to mind is the Culture: even the Idiran war doesn't bother most people that much. It could be fun to visit the Brave New World setting for a day or so (enough for a huge binge, basically), and there are a couple of other places I can think of depending on your tastes, but for a long term stay, I'd go with the Culture. It's hard to enjoy Rivendell when it's in acute danger of being burned down by orcs.