To expand a bit on Chogg's answer ("find a university that resonates with you personally"), it's important to decide what you need/want from your education. The views below are largely orthogonal to the replies you've received so far (in particular, no specific schools are suggested), and are based on my experiences in the US and Canada.
Putting aside practicalities such as cost and geographic location, salient items to consider include:
Your intented profession and expected final degree (e.g., bachelor's, doctorate).
Your own mathematical abilities (which can be difficult to assess until you have basis for comparison).
The type of academic environment in which you work best (e.g., competitive, supportive).
Generally speaking, a large research university offers courses in a wide range of subjects, at levels from introductory up to research level. The intellectual environment is rich; you can attend colloquia and seminars on topics directly related to (or far from) your studies, socialize and study with with bright students, and (depending on the surrounding area) encounter life experiences (culture, outdoor activities, urban--or rural--life in general) that broaden you as a person.
You'll have a percentage of classmates who are Much Smarter Than You, i.e., who pick up new ideas more quickly, who have seen much more mathematics, perhaps even some whose thought processes are "magical" in the sense of Mark Kac. (This is all the more true in graduate school.) The intellectual atmosphere is stimulating if you're inspired by genius, and often crushing if you're the smartest person you've ever met.
Courses are large, with correspondingly less individual attention from faculty; you'll learn much of your basic undergraduate material from teaching assistants. If you shine mathematically, you'll earn the attention of faculty, and will have no trouble getting individual attention that will take you wherever your abilities allow. If your mathematical abilities turn out merely to be "standard", you can still get an excellent education. However, if you don't perform well without personal attention, you can easily "sink" rather than "swim".
By contrast, a smaller school generally offers smaller courses (with more individualized attention from faculty), at the expense of generally limited course offerings and faculty expertise, a smaller student body (a narrower range of interests and abilities), and fewer colloquia and seminars. However, at a smaller school you're less likely to feel "lost" or "abandoned". If you're lucky enough to find a small school with a faculty member doing research close to your interests, that can counterbalance most of the general disadvantages of a small school.
One final thought: You may be able to get advantages of both types of school by enrolling full-time in a small school located near one or more large research universities. At the very least, you can sit in on courses and seminars as your schedule permits.