I would choose the door to Bag End. I enjoy Tolkien's whimsical fantasy setting over any of the other legendary story settings. It would be interesting to live in the medieval world of Middle-Earth, where there is no magic, but a lot of realistic and historical artifacts. As well as a diverse range of fascinating people, all with very precise and unique stories and histories to tell. There's a lot more to Tolkien's universe then what lies on top.
I would travel as much as I could in the world of Middle-Earth. To see as much as possible and to learn as much history as possible would be most interesting.