I'm a big fan of going for what you know, so I would tend to set a supers game near to where I live. I'm not running one at the moment, but have run them in the past based in Leeds (where I was studying at the time) and then Manchester (my home metropolitan area for the last 27 years). However, I was thinking about being a bit more adventurous recently and running quite a dark magic-based low-powered supers game based in South Africa. Not knowing anything about the place I struggled, so I think I'll go back to somewhere I know next time I get round to doing it. However, I think if you're going to take that route you need to be sure that you know the city well yourself as if you have a player who knows it better than you it might be messy. So far I've not had that problem, but the potential is there.
Cheerio,
Ben