The answer is: larger and more active governments lead to greater satisfaction.
Patrick Flavin and co-authors found that people who live in countries with larger and more active governments are happier than those with smaller governments:
"...regardless of the specific measure used, we find that citizens living in countries with a larger and more active government report higher levels of life satisfaction even after accounting for a host of alternative explanations. Moreover, the substantive effect rivals that of other traditional predictors of life satisfaction."
The difference in self-reported satisfaction is about the same as that between being married vs. unmarried, and the difference does not depend much on one's affluence.
The difference isn't large: the average satisfaction (as defined and measured by the study) for the U.S. is only 0.07 standard deviations below the mean of 15 industrialized countries (for a list, see page 9 of the study -- it's essentially the OECD). Enough worth emigrating for?
Flavin said "the research is focused only on the link between government intervention and life satisfaction and not whether it achieves economic growth or such goals as reducing poverty or violent crime.... To the extent that it is a primary task of democratic governments to secure the well-being of their citizens, studying what government activities make citizens happier helps inform the 'politics vs. markets' debate.'"
I doubt this will sink into the heads of most Americans anytime soon, because, you know, it's far more important that gays not be able to marry than that all American have a sound education, health care, security in retirement, and adequate food and housing.
But now we know what empirical data says.