I grew up in a small town, one where have a house every 500 yards or so on most roads. Then I spent two years in a dorm at a good sized college town, and now reside good sized but not huge city. I can't say I feel any more anonymous in the big cities than I did in the small town I grew up in.
I may be because of how rarely I go out, but I don't find any more comfort in a big town where no one "knows" me versus a small town where the odds of me seeing the same person twice is more likely. Strangers or repeat acquaintances, big or small groups, they're all still people and when I'm out of my comfort zone the more people there are the less comfort I feel.
In a small town I feel comfortable going out for a run and knowing there will probably be few cars on the road, and worst case scenerio I have to wave to a neighbor. Or I could just stay in my yard and deal with no people. In a city I am guaranteed to see people, people are always around and I always feel like someone can see me. If I mess up or do something silly, someone will know. The fact that it's a stranger doesn't comfort me at all.
I'd rather go to an empty grocery store and mosey around then a busy one and have to deal with foot traffic and so many random people who could try to interact with me at any moment unexpectedly. Maybe in a small town I'd see the same cashier more than once, but if so they'd quickly wise up to how I don't talk and leave me be. And at least I see that interaction coming, and can prepare myself for it.
I'm still young and up to this point in my life have been able to avoid most social interactions, and in doing so have a lot more comfort in the place that doesn't require them, the small town setting. In a huge crowd I don't feel that anonymity everyone else talked about in the thread but huge pressure and anxiety about being around so many different people. Honestly it doesn't matter where I live if I avoid things like I do, the world outside my apartment won't effect me much. If I were to venture out to the world though, I think I would feel best finding low stress places I feel safe, small amounts of people and stimuli that doesn't overwhelm me.