Its personal taste. I wouldnt stay in halls, but I do prefer living close to the university because a) I like feeling in the thick of things, and b) I'm lazy and dont want to have to walk more than 10-15 minutes to get in, or I wont bother most days.
If youre a PhD student the sub-Warden thing might be worth looking into since you save so much money, which is invaluable if youre trying to make your meagre stipend stretch as far as possible. It comes with its own time commitments though.