A great question. I personally feel, cultural differences would definitely affect the way that one would respond to this question.
For instance in our Indian culture, many educated families even today, view the girl's family as being subordinate or subservient, to the boy's family. So living close by to one's in-laws could result in unnecessary interferences in each other's daily affairs. It could also result in one's privacy being invaded in any time of the day. Visiting each other's homes would have to reworked. There could be many other situations which might call for a look in if one opts to live near to his in-laws.
I concur with bigocean that it depends on the in-laws and the situation and probably the understanding you have with them and that a balance has to worked out to avoid any straining of relations between the 2 families.
I would love to read the views of peoples of other cultures regarding this.