I like to think of the experimentation ordeal as something the government cooked up at the last minute (as the same way the Fallout 2 devs threw it in at the last minute), and only made a few of the Vaults hold "deadly experiments" (experiments not counting Vault 13, Vault 15, or Vault 101, as these aren't deadly experiments). I like to tell myself that only about 20 - 30 of the 120 or so commissioned Vaults actually held deadly experiments, based on what I just said, and on the fact that even if there was a group of evil government officials behind it, its not really possible, even in a fictional world, there would be more vaults with horrid experiments that control vaults. So I tell myself that the majority of the Vaults were control vaults or simply just had very low-intensity experiments (like Vault 13 and 15), and the government simply set aside a few vaults from the majority to use for their experiments.
With that in mind, I would rather be a Vault Dweller. The Vaults were big enough to house about a thousand people (Vault 13 held about this many people). Thus its not like your going to be "cramped in a dark underground shelter" or anything. From what we've seen of the vaults, they held some of the best technology of the Pre-War. So these people aren't just safe from the outside dangers of the Wasteland, they are able to live in a Pre-War utopia of sorts (without the food riots and power outages of the late Pre-War). They had entertainment in the form of music, and from what I've read, movies on holodiscs, they had a computer network which held its own version of the "internet" and a messaging system. They had food extruders which could create many types of food. The vault was extremely high-tech. They had entertainment centers (aside from the television monitors and computers they held in their own personal apartment), pools and gyms, and many other things. So its not like you were sitting in some kind of cramped Vault with nothing to do and having to ration food.
Its much like living the life of a middle-class citizen of today with Fallout technology at your disposal, and never having to worry about food or water (so long as you were willing to work, or some crap happened like your only water chip breaking).
So yeah, I'd much rather live in a Vault. People say they'd rather live in the Wasteland but once they encounter their first Raider gang, ghoul, or even Rad-Scorpion in reality they would probably be wishing they had a nice, comfortable high-tech Vault to live in.