I have a tendancy to set games to places that I'm familiar with. For a couple reasons, but mostly because supernatural stories are great for New Jersey. We have a state magazine dedicated to the weird happenings in my home state.

Wherever you decide to set up your game, look up real life local rumors, urban legends, and tall tales to lend some color to your game. People actually see things, you know? Or they think they do, and if they believe it, so can your players.