Location was definitely a factor in picking my applications. I made a list of interesting research from talking to my profs and online research then crossed out all the places I don't want to live. All of the central US states got removed. I also limited my east coast choices to the really good schools in my field. I'm from Western Canada so the east coast temperature extremes are too much for me (currently in Eastern Canada).
I am hoping for a west coast school. The Northwest would be nice because it's close to home but California is also nice. My wife and I are also looking for a city bigger than our current location, ideally something that is NOT a university town, and a multicultural place. Only 2 of 8 schools I applied to do not meet all of these conditions.
I'm also looking for a program where I can get use out of my Canadian MSc and finish a PhD within 4 years (don't want to start a family while in grad school but also don't want to wait until I'm 30!). Of course this is all assuming I will have enough offers so that I can actually make a choice based on these preferences
I guess I am pretty picky but a PhD is a significant investment and I'm only going to devote the time if everything works out. Otherwise, there are plenty of other interesting careers I can have with my MSc in Canada.
Edit: I did think about Europe but it will be harder for my wife to find work in countries where she doesn't speak the language. Also, it is really far away from both of our families. And, funding for non EU citizens is very sparse over there!