There's a certain gossipy element that small-town settings provide. People in small towns may know more about you than you wish they did. Not only that, they may compare your behavior to other members of your family from generations back--favorably or non.
Larger cities, on the other hand, can provide an exciting backdrop for your story. At night in Memphis, you never know who you might run into on Beale street. The city is faster-paced and music, food, and the Mississippi River are threads that run through everything.
I'm having a good time writing both settings. I grew up in a small town, but I've since lived in larger cities. I love the sense of community I get in a town, and the cultural/entertainment opportunities available in larger ones. The suburbs get a bad rap, but I think I've gotten a little taste of both worlds there.
Are you pulled toward small towns or larger cities for your settings?