Taxes are not higher everywhere, and where they are higher it's usually because there is really awesome infrastructure and a social safety net and other stuff you would normally want to finance collectively. Compare, say, the homeless situation in Berlin to that in San Francisco... or compare pretty much any bus system anywhere in the developed world to MUNI.

One freedom Europeans have is freedom from fear of the police, i.e. I don't think there's any country in Europe in which you might have to fear for your life when you're not doing anything wrong and happen to meet a cop, regardless of your skin color.

Also I think there's more political freedom in countries where small parties play a role in government, i.e. you don't have to choose between the Democrats or Republicans or a symbolic protest vote.

And while this varies by country, there are places where you can be just as "off the grid" as in the US and the bureaucracy will never find you (or even try). But I wouldn't try that in, say, Germany.

Anyway, that said I wouldn't propose that an American is likely to feel "more free" living in Europe, probably the opposite, but in some things they probably would be.

Source: US American living in Europe for a long time. :-)