American style: "I'm in college."

Yes, I agree with Su.Ki., but I don't think native speakers normally say "I study at university." I am trying to think of an occasion when one would say this but can think of none. When asked, "What do you do?", one would respond, "I am at university" or "I am a university student" and not "I study at university."

I study at university.

The correct preposition is "at," but remember that Americans use the article "the" when discussing universities and hospitals. So an American would say, "He's in the hospital" or "She's studying at the university."