The thing about the EU is that it isn't something oppressive. It isn't something imposed upon us. The United Kingdom is still a sovereign state. The EU is a voluntary association which we can terminate at any time, with or without a referendum. That we can leave at any time is highlighted by the current referendum, this is not a special circumstance (except in that there is a referendum). Kansas can't unilaterally secede from the USA, there would need to be some kind of agreed upon process for that. The UK can leave, and then it has left and the EU can't challenge it.

The EU does represent a reduction in sovereignty. But basically every international trade agreement, treaty etc represents the same thing. The question is whether the benefits are worth the compromises, because every situation comes with advantages and disadvantages. Every option involves compromise. Certain things are prerequisites for a project like the EU to function, and so it is sensible for there to be a pooling of sovereignty in these areas.

In a world increasingly dominated by large economies (USA, China, India) no single European country is going to be able to compete effectively. No single European country can come close to the economic, military, diplomatic or scientific potential of these large power blocs.

But a European Union can. In Wales we are quite used to being a smaller part of something larger. Cooperation is not a bad thing. The fact is that for many small, poor European countries (of which Wales is one) the EU has been a stabilising and positive force. It has allowed these small and poor countries to develop in many areas. It has increased Europe's influence and relevance on a global scale. Because of the EU's commitment to social programmes and development in poor areas, some of the poorest places in Europe have been improving rapidly. They have been able to achieve this without deficit spending, risky government policies etc because of the redistribution of wealth mechanisms employed by the EU. This usually means that the richest EU countries do not receive much in the way of EU aid (UK, Germany, France) except the UK actually gets quite a lot because Wales is one of the poorest countries in the EU. It is not just one of the poorest parts of the UK, it is one of the poorest parts of the EU.

Successive UK governments have shown that Wales is not a priority. We get that, there are only 3 million people living here. That's fine. We're too poor for independence and our infrastructure sucks. But pretty much all of the major investments in infrastructure and so on in my local area were built using funds secured from EU programmes. The EU paid for my master's degree (there was more to it than just that, also). This funding stream is great for Wales because we don't have to spend money we need to spend on education and the NHS on other projects we need to fund for development and growth purposes. The EU is also a massive pull for companies wanting to set up businesses in Wales. Businesses already have few incentives to set up here; why would we want to get rid of one of the largest?

Why would we necessarily want to not be part of the UK, also? Wales has a very long history with England and the UK. Yes not all of that history was great, but for many Welsh people they are Welsh and they are British. We have had a Welsh-speaking Prime Minister. A Welshman was responsible for the NHS. Independence to many Welsh people is like asking someone from Pennsylvania if they want to secede from the Union. Just because they want their own state government doesn't mean they don't want to be part of the USA. ;) (As a vaguely pro-independence Welshman I find the UK acceptable for now, but only until the EU becomes a true federation.) But within that, many in Wales recognise that the EU benefits Wales. It just doesn't make any sense for Wales to not be part of the EU. The money issue is a smokescreen, it is such a small of amount percentage wise of the GDP of the UK and we get so many other, non-financial, benefits from the EU anyway. It just does not make sense for Wales to leave the EU. If your concern is EU immigration, Wales gets barely any (lowest levels in the UK I think, lower even than the Highlands). We pay less into the EU than we get out of it.

I think a problem many English people have with the EU is that they aren't the strongest voice. Not even that they aren't a strong voice, but that their voice isn't the only important voice and therefore they don't always get their way.

I also want to point out that the EU is absolutely more decentralised than the USA. If we're going to talk about decentralised superstates, the EU is probably the most decentralised state in the world. It is also democratic - we elect MEPs, who appoint the Commission, in a similar manner to many non-EU governments.

tldr the EU allows the many small European nations to be greater than the sum of their parts. any reduction in sovereignty is probably worth it in the long run. large power blocs are the future.