“Better a citizen in hell than a slave in New Jersey.”

Source: Neveryóna (1983), Chapter 4, “Of Fate, Fortune, Mayhem, and Mystery” (p. 86)

Other

"What I Believe" in The Forum 84 (September 1930), p. 139; some of these expressions were also used separately in other Mencken essays.
1930s
Context: I believe that religion, generally speaking, has been a curse to mankind — that its modest and greatly overestimated services on the ethical side have been more than overcome by the damage it has done to clear and honest thinking.
I believe that no discovery of fact, however trivial, can be wholly useless to the race, and that no trumpeting of falsehood, however virtuous in intent, can be anything but vicious.
I believe that all government is evil, in that all government must necessarily make war upon liberty and the democratic form is as bad as any of the other forms.
I believe that the evidence for immortality is no better than the evidence of witches, and deserves no more respect.
I believe in the complete freedom of thought and speech — alike for the humblest man and the mightiest, and in the utmost freedom of conduct that is consistent with living in organized society.
I believe in the capacity of man to conquer his world, and to find out what it is made of, and how it is run.
I believe in the reality of progress.
I —But the whole thing, after all, may be put very simply. I believe that it is better to tell the truth than to lie. I believe that it is better to be free than to be a slave. And I believe that it is better to know than be ignorant.

Variant: Better to reign in Hell than serve in Heaven.
Source: Paradise Lost

Upon hearing about the construction of the Berlin Wall, as quoted in "Savage century" in "The Sunday Times (28 May 2006) http://entertainment.timesonline.co.uk/tol/arts_and_entertainment/books/non-fiction/article724547.ece
Attributed

i.262-263
Paradise Lost (1667)

"Hot Seat", Time Out New York; Issue 565: July 27–August 2, 2006

Treason (1988)

Source: Ninety-Three