I've been to about 25 countries on 4 continents (nearly half were third world) and lived a year or so in about 4 them (all of them third world or developing). There were many things I enjoyed about living in those places, mostly the pace of life and an emphasis on who you are and not what you do. However, even the latter emphasis on being rather than doing was a two-edged sword. I found it very difficult to deal with the fact that, as a white American I was automatically rich (which is true by global standards) and that I was perpetually feeling like the outsider, even though I learned to speak the language. Coming back to America definitely made me look at incoming legal immigrants who have to overcome language barriers in a new light.
Anyway, that said, the best advice I learned was to really push and explore the boundaries of your own cultural limitations anytime you travel or holiday. Doing so allowed me to get closer to people in the countries I was living in, but it also made me see where my own limitations were in terms of what kinds of countries I could live in for a long period of time. For example, I absolutely loved living in several of the sub-Saharan African countries I stayed at, but could never see myself remaining there long term due to just being a white American in predominantly black countries whose only interaction with my own country consisted of satellite broadcasts of prosperity gospel programs and reruns of Beverly Hills 90210. By year's end I had learned and grown a lot as a person but found myself struggling with loneliness when I got tired of wearing the foreigner label. It's nice to be seen as the different person from another country at times but there are other times when you just want to talk about an episode of Family Guy or something and you can't because nobody knows what you're talking about, much less understands your sense of humor. In short, you want the comforts of home.
So there are little things like that which often heap up into a big pile of reasons to stay where you are. Granted, I'm also speaking from a very unique position as an American who has freedoms and opportunities that 4 or 5 billion other people can only dream about (or misconstrue from satellite broadcasts). I'm sure that living in a place with fewer freedoms and opportunities would give a person some incentive to learn to adapt to strange customs and rituals, as many new American citizens try and do. That and it's fairly safe to maintain your own cultural practices from your home country (provided it doesn't involve chopping off body parts or anything of that ilk).
As an American I also have the unique perspective of having come from "somewhere else." Being Scots-Irish American to me means that I feel as if I have several possible homes. Whenever I'm in Ireland or Scotland I feel an instant connection to the people, land, and history around me because I was raised as a child to appreciate and celebrate my heritage and ancestry. I could easily see myself living in either of those countries long-term because of that kinship which words I don't think could ever describe.
Which leads me to ask: does anybody living outside of a "New World" country have this feeling or sense of connection to another place and would that be enough for you to make a permanent or long-term move to that country?