Legend has it wrong, as one web source notes:
"'Here lies W. C. Fields. I would rather be living in Philadelphia' ... was an epitaph Fields proposed for himself in a 1925 article in Vanity Fair. It refers to his longstanding jokes about Philadelphia (his actual birthplace), and the grave being one place he might actually not prefer to be. This is often repeated as 'On the whole, I'd rather be in Philadelphia,' or 'All things considered, I'd rather be in Philadelphia' which he might have stated at other times. It has also sometimes been distorted into a final dig at Philadelphia: 'Better here than in Philadelphia.' His actual tomb at Forest Lawn in Glendale, California, simply reads, 'W. C. Fields 1880 - 1946.'" <http://en.wikiquote.org/wiki/W._C._Fields>
Carl
Btw, one other notable instance of Fields' Phillyphilia occurs in "My Little Chickadee," when Cuthbert J. Twillie (Fields) stands on the gallows. Asks the hangman: "Have you any last requests?" Answers Twillie: "I'd like to see Paris before I die. Philadelphia will do."