Egypt is the only military dictatorship I can think of right now, and the military there is actually held with a lot of esteem... Theyre going through a prolonged revolution so I dont know how long the military's power will last. I guess North Korea could also be called a military dictatoship, but its almost a theocracy too as the head of the military is also treated like a sort of demi-god (Kim Jong Un)
It mostly depends if I were of the same religion of the theocracy I was living in. If I lived in an aethiest theocracy (... i dont know if that could exist) i'd probably be a lot happier than if I lived in a country under Sharia law like tribal afghanistan where I could get stoned to death for looking a woman in the eyes
Political Dictatorship is pretty much like modern China, life wouldnt be too bad there as long as I wasnt a peasant living in the gobi desert
Monarchial Dictatorship... I dont think these really exist anymore outside of tradition (like british royalty)