America has always been a symbol of ideal life: low prices, high life quality, wealth, civilization... Almost every second person on Earth wishes he was born in the US.
This vision of an "American dream" is nothing but Hollywood propaganda. What you see in American movies and television isn't like real life. Most Americans don't live like the "kids" in Beverly Hills 90210 :p That's not to say America is a terrible country, but amongst developed nations, it doesn't even rank near the top in living standards. And even the countries that do are only there because of raw statistics, which removes the human aspect from it all.
Some American cities are even comparable to third world countries, with murder and aids rates similar to what you'd find in Africa (like Washington for example). On the other hand, some Russian cities (like Moscow and St. Pete) are comparable to the developed world, and much more safe and clean that those worst places in America. Those particular cities don't represent the countries as a whole of course, and neither does San's hometown in Russia and his terrible experiences with toilets represent the entire country as a whole. Every city and town is different, some are better, some worse. One cannot judge the living standards of an entire country on personal experiences alone unless they themselves have lived in every region and experienced it all, especially countries as huge and diverse as Russia and America. And by the sounds of things, you've never even been to America!
As a Canadian myself, I can think of many reasons why someone from the western world would want to live in Russia (or at least visit for an extended period of time). If I were given the opportunity, I'd jump at it in a second. Going beyond the reasons stated by others above, all you would need to do is observe how the average person here spends an average day. You would see just how empty, dumb, depressed and morally bankrupt we are as a society.
Here's an interesting fact: Antidepressants are the most prescribed drug in America, with 1 in 10 women over 18 taking them. It's just as bad here in Canada. Do they need those drugs because they live happy, fulfilling lives?
