I've been through out Europe many times, everywhere from Norway, Italy, Gibraltar, Portugal, England, Poland, Russia, Iraq, Kuwait, Ireland, Estonia, and a few more countries.
Granted in the "free world" you don't get your hands chopped off. As stated though there are certain advantages to living in the US that many people don't see (at least I see them as advantages, other's could argue...). The list is literally endless and as vast as the ocean but to touch on a few points look at the medical system in Canada. I have three friends that live between Newfie and Ontario, each of them swears by their statements, "The Canadian medical system is inundated with idiots going to the hospital for a sniffle, making legit medical cases wait for days to be seen..."
It should also be noted that in Europe the government owns most if not ALL of the major media outlets and when it comes time for campaigning (issues or offices) the legislators use TAXPAYER money to push their own agendas. I won't even get into the private firearm ownership thing. Drugs, sure the vast majority of the EU is very liberal about drug use (research "Needle Park" in Switzerland) but letting everyone run free and do what they want isn't the right answer. It's hard to talk about drugs here and not sound like a hypocrite so I won't.
Income taxes are outrageous in places like Sweden! 52.3% Imagine keeping LESS THAN HALF of what you earned?
We can go back and forth on this all day...