Big cities are more convenient and save a lot of time, assuming you live in one that is designed for people and not for cars. My current city is only <300k but I've lived in and visited multiple 1m+ cities and the nice things about all of them are the anonymity, plethora of things to do, and generally decent public transit.
Traffic in big cities is only a problem if you actually have to use a car, and that's more often than not easy to avoid due to aforementioned public transit.
Crime rates are also usually not any higher per capita, but just increase linearly as more people just means more instances total at the same rate. Hell, if you look at the crime statistics in the US (
link) the first city with a million or more people is in 12th place for murders, 22nd for rape, 8th for robberies, 20th for aggravated assault, 31st for burglary, 14th larceny, 17th vehicle theft. Which directly means a lot of smaller places are actually a lot worse.
Things are also usually not that much more expensive once you figure in the time and money you can save by just not using a car, or using it less often. Though that heavily depends on the area, Berlin for example has it pretty bad and the high cost of renting largely off-sets the benefits the public transit provides. But that's a political failing more so than a direct result of it being a big city.
Though they aren't without downsides, if you need a car you're regularly fucked, cities are more noisy, the air a little less cleaner (thanks ICE cars for both of those things), and apartments are generally also not quite as private as a nice house somewhere. But personally the convenience of living in a place where I can walk everywhere I want to go, and take a train to everywhere else, beats out the disadvantages.