You are going to bump into a bit of a methodological snaggle here, so I'm going to need to step back a bit here. The US election gives a good platform to think about this: You know how today people will often talk about journalists, writers, etc as a "class" with its own characteristics and peculiarities? So how certain candidates will be perceived as being "media friendly" because they appeal to certain aspects of this "media class", even though they find little traction outside that class (John McCain used to say that the media was his core base). The takeaway from this is that the people who are producing a culture's commentary upon itself only represent certain aspects of that society. This is often simplified as them being "upper class" or "elite" (which gets into a bit of a tangle because the wealthiest and most politically influential are a category that overlaps imperfectly at best with the cultural elite; anyway) which sort of gets the point across.

Now this is the case with a society, like ours, where a heavy majority of people are "fully literate", so imagine a society in which, say, 10% of people are fully literate, which is what some consider ancient Rome to be. The commentating class, inherently a subset of the literate class, would be even more particular, and yet virtually 100% of our internal commentary for ancient Rome comes from this small and particular group. Imagine f the only information you had about the US came from back issues of The New Yorker--would you say you could get an accurate picture of the feelings and sentiments of "the Americans"? This is basically the challenge we face with your question, in that our information comes from wildly unrepresentative sources.

And so the answer to your question is a qualified no--but there is an odd cross cultural phenomenon of writers from "civilized" lands idealizing the "uncivilized". Tacitus is a quite famous example of this from Rome, as he wrote about the Germans as being more pure and virtuous than modern Romans, and equivalent to how Rome was at its founding (it gets a bit more complex, of course). There are equivalent examples of this from China, one example whose name I can't remember was an official "exiled" to the south during the Han who came to write about the people there is highly romantic terms. And Benjamin Franklin, of course, wrote highly of the native Americans. What unites these writers, though, is that none of them actually did run off to join the "uncivilized" people, and so today most scholars see the portraits as having a degree of disingenuity, or rather that they are using the "uncivilized" people rather than actually describing them.

But there are ways to try to explore thoughts that were not from the commentating class. There are a few examples, such as the ones /u/CreakyTom cites, of commentators describing the people and motivations of those who did run off to join the barbarians. This is a somewhat imperfect source, however, because the information is still being transmitted through the commentating class. A more ambitious perspective is offered by those such as James C Scott, who sees "the uplands" (a somewhat metaphorical space in his reading) as being people by successive waves of migration from the urbanizing and civilized places. It is one that I find extremely persuasive, not the least because it allows us a glimpse at information not passed through the commentating class.

Ultimately, the answer to your question of whether people preferred to live a civilized or uncivilized life is yes, no, maybe and sometimes. There are examples of people fleeing from civilization, people feeling to civilization, and people describing uncivilization without fleeing to it. The tragic truth, however, is that most people were never offered the choice.

While not exactly the same as what you asked for, the cynics had a argument that is quite similar to what you are getting at in the end.

This passage from a Greek satirist Lucian captured it quite well.

http://www.sacred-texts.com/cla/luc/wl4/wl431.htm

That said, from a traditional linear-progressive stand point, how civilization moved beyond hunter-gatherer society thanks to improvement of technology is the first thing we learned in history class. Disagreeing with the cynic, I think you are taking an overly critical stance on a arguably more developed, successful and advanced society

Not exactly hunter-gatherers, but the Roman historian Priscus living toward the end of the 4th century recorded an interview he had with a former Roman citizen who was living on land recently conquered by the nomadic Huns. In a nutshell, the former citizen explained that things were better since the Roman Empire was no longer in control because Roman officials were corrupt and basically allowed the wealthy to live above the law while regular people were subject to high taxes and severe penalties for crimes. Since Rome at that time was pretty much crumbling it would make sense that some Romans, particularly those who weren't members of the upper class, would decide that the grass might be greener on the "barbarian" side.

There's also evidence that some peasant workers and soldiers in Chinese border towns during the Qin and Han dynasties chose to defect to the nomadic Xiongnu tribes to the north. Many of these people had been forcibly relocated to the frontier for the purpose of constructing/guarding the Great Wall, and working conditions were notoriously miserable with harsh weather conditions, little food, and years of separation from families and home villages. It's similarly not far-fetched that these people would also choose to forego life under an oppressive empire in favor of a possibly freer lifestyle with the nomads.

We have a lot of sources from some "classical" civilizations (Greece, Assyria, Persia, and China) about the rise of mounted nomadism (scythians, sarmatians, etc.) if that interests you.

Not sure if this would count as ancient, but the Nahua people of Mexico (Aztec empire was made up of Nahua city-states, so very much like Mesopotamia in terms of technology, construction, and city-state dominance) claimed to have descended from the Chichimeca people of northern Mexico. The Chichimeca (which was once the Nahua umbrella term for all northern H/G's) carried the connotation of "barbarian" and "dog people". The Nahua are not directly descended from the ethnic group that we today call Chichimeca (genetic tests have been done to death), but instead recognized their origins and were proud to be of the same stock.