Individual circumstances may lead you to file almost anywhere, but many firms and individuals file their LLC in Delaware.
Delaware's state government and legal processes have a reputation of being quick, accessible and decisive. Trials are heard by a single judge, not a jury that can deliberate, become hung, and draw out your legal proceedings, costing you time and money.
The LLC entity is designed primarily to afford you legal protection and separate your individual assets from company assets. Delaware ostensibly offers quicker, less painful resolution to any legal disputes that may arise.