There are soooo many!!

Silent Hill
any of the cool places in Underworld
The Cube
the underground tunnels in House of 1000 Corpses
boiler room (Freddy)
the house in The Haunting
Shutter Island
the cemetery in Pet Semetary
the mind of the killer in The Cell
the house in the remake of House on Haunted Hill
the glass house in 13 Ghosts
the government place (don't remember what it was called) in Cabin in the Woods
the woods in Wrong Turn
the underground tunnels in Priest
the diner in Legion
the city in Daybreakers
all the places where the insane traps were used in the Saw series
the candy house in Hansel and Gretel Witch Hunters
I could go on and on but I truly enjoy any location that has a deep gothic look or affect to it!!

I think all good horror movies have good locations. Is this a favorite location you would like to visit or live type of question?

That's what I'm talking about. Love the list, sister.

Just your favorites. Everyone has their favorites.

Ah ok.

A good number were mentioned already.

Halloween (original)
Friday the 13th Crystal Lake - I like the feel of the area the most in Part 6.
Silent Hill - Spooky. But the whole town and outskirts seemed like a nice area.
Nightmare on Elm Street - I like the setting in Part 4 too with the diner.

Sleepy Hollow.

cabin from the evil deads
camp site for sleepaway camps

Halloween (original)

The Conjuring

Awesome choices. I too love how Camp Crystal Lake looks in Jason Lives the most.