I lived in Seoul for four years. It would make an interesting place to adventure because it's got this super cool super funky mix of ultra-modern high rise buildings juxtaposed against cardboard and tin-roof shanty towns. It also has an amazing cornucopia of neighborhoods, each with its own feel. Plus, there's a robust subway system. And the Han River could make for watery escapades.
I imagine other cities in the Middle East, like Jerusalem, Tel Aviv, or Tehran probably have similar uber-modern-meets-third-world-nation feels to them, and would make for a good adventuring backdrop. Stockholm would be fun, purely because I've never been there, always wanted to go, and playing a Shadowrun game set in Stockholm would be a great excuse to Google the city, check out maps, and explore virtually.
Ditto for any of the locations, I suppose. I lived in New Orleans for a few years, too, and the black Mambo Voo Doo qualities of that city would overlay really well on a Shadowrun game. Basically, I'm happy to game in any city setting you choose. I hope it'd be an actual real city and not a made-up one, but that's just me. Mostly, I'm just grateful that you decided to GM for us!