This is a very, very vast and complicated question. Not only does the meaning of what a province actually is change considerably over the course of Roman history, but the provinces themselves have an internal history and considerable variation, from Britannia to Egypt or Baetica to Syria. There can be more variation in a provicne itself than between Rome and a province, meaning, life in Augusta Treverorum/Trier in the 3rd/4th century would be more similar to life in Rome than to life in a small village 10 km away, or a villa rustica outside the gates of the citry.

If you could narrow it down to an area or time-frame that interests you, that would be very helpful since otherwise this is just too vast a question to answer easily (to give you an idea consider a modern analogy - switch provinces with U.S. states and Rome with Washington, even if it's a poor analogy - and try to answer that question over only some 300 years of history).