It's a toss-up for me. I really like the idea of a new colony in a New World, with lots of wilderness and monsters. This allows you to do all kinds of fun stuff, especially if the settlers are from a large Empire that contains multiple cultures.
Another idea would be an Italian city-states style area. Multiple large city-states that are fairly close together, with roaming armies (including mercenary companies), and maybe an old ruin that just happens to be inhabited by ghosts or other monsters.
I'd also be interested in a Napoleonic setting, in an out of the way location, with patrols of both sides in the area. There would be some kind of local antagonist or monster to deal with, as well.