Very few people live off campus at Wesleyan. It's not allowed for freshmen, and it's discouraged for everyone else. Some frat brothers used to technically live off campus (in Beta), but since Beta was bought by the University, there are really only a handful of students who don't partake in the housing plan. That handful lives in apartment buildings around campus; the rent is slightly cheaper than Wesleyan housing, but you don't get the benefits of having the school as your landlord.
Also, on-campus housing is so good, and it gets better every year, so there's really no reason to live off campus. Juniors can live in school-owned apartments, and seniors can live in school-owned wood-frame houses that are technically still on-campus housing (but can be fairly far from campus). That way, the school does your maintenance and shovels your driveway, but you still get to live independently.