Ancient Greece and Rome, the first half of the 20th century and the 2000s. I would give nearly anything to live in the 2000s again.
Though, I don't think anybody would want to live in a pre-industrial civilization. Some here mentioned pirates and the Roman gladiators and sure othes dream of knights, princesses, explorers and the like. Unfortunately, back then people of this kind were just a very tiny minority, most members of pre-industrial societies were farmers who could barely make ends meet.