Ranked as the No. 1 city in Oklahoma in which to live, Nichols Hills is a small city in Oklahoma that has the most expensive real estate in the state -- and whose real estate consistently ranks as some of the most expensive in the country. This exclusive city is also consistently ranked as one of the best cities to live in the United States, according to U.S. News and World Report. One of the things that new residents are quick to notice is how important the arts -- and arts patronage -- is to their neighbors, which helps foster a sense of community.