How do you decide on where to set your story? In some cases this may be dictated by story type or the basic premise you have in mind. However, if it's open, I do believe the old adage 'write what you know' is valuable.
Of course, with the Internet, it is easy to research any place and get history, images, and maps. Nevertheless, I think it's far easier to express a sense of place if you have been there yourself, even if only once or for a brief time.
Although I have lived in Australia for eight years now, you will notice I have set only a couple of stories here, with most of them taking place in London. This is because London is a location that offers many possibilities, and is one which I know well enough that I can picture streets and places and have no need to check details; a great advantage, particularly if you are writing to a deadline.
This is, of course, only pertinent to contemporary works. Historical fiction must needs rely on old maps and research. Nonetheless, having a personal knowledge of the city/area does still help, even if details such as buildings and street names need to be modified.
Whichever way you go, whether writing places familiar or foreign, always remember that a sense of place can be vital. Without it, an otherwise good story can easily fall flat. Nothing is worse for a reader than being jolted out of the story by an authorial mistake regarding street names or which Tube line will take you to Victoria Station.