It partly depends on the story, but generally, I prefer apartments or penthouses. I suppose it's just because I love big cities (London and New York are my favorites, but I also love Tokyo and Seoul). And I live in a city (the biggest in my country, which isn't actually very big) and in an apartment.
That's why as soon as City Living was released I started playing with a sim, who moved into an apartment. And when I got vampires, I first tried to have them live in the Forgotten Hollow, but it took about two simdays, after which I moved them into a penthouse (I used money cheats for that).