The principle of the European Union is based on democracy, and you can vote for an European party that would better defend your view at the European level. In my opinion, a country leaving the EU is equivalent of saying that democracy doesn't work and this message is dangerous. For information, less than 50% of Europeans voted at the last European elections in 2014 [1], it only depends on people to build a democratic Europe.
If you disagree with your own country's laws or current government, you are not allowed to say "alright, my house is not from this country anymore, and I wont pay any taxes". In practice, you will still use all the infrastructure everybody else contributed with their taxes, plus the healthcare, and you will still want to trade with other people.
Country's problems won't magically disappear after leaving the European community, the European Union is made to find collaborative solutions between countries, taking into account each countries' interests and capacities.
Now, you can legitimately disagree with recent EU laws about online ads for example, but as another European myself, I welcome this regulation. So we are 2 Europeans with different opinions, and the best way to solve this is democracy, if we still want to trade together in 25ish different countries.
I agree with you about politician salaries and bureaucracy, but I only see it improving in the future, when information will be better communicated and people more interested in Europeans scale issues.
Anyway, we achieve balance by participating and talking, not by closing the doors in front of difficulties.
[1] turnouts for EU 2014 election, by countries : http://www.europarl.europa.eu/elections2014-results/en/turno...
Edit : If you disagree with your current country government, maybe you will have more success at the European level, which in turn will balance your country government. Also, European politician salaries are transparent and follow a strict procedure : http://www.europarl.europa.eu/news/en/faq/13/salaries-and-pe... so maybe still expensive, but it could be possibly less corrupt than some of the individual countries themselves.