I've only played in one game set on Faerun, but we're questing out of a muddy huddle of huts in the middle of a forest and trying to help the local tribes fight off slavers. So my answer is anywhere that has a thriving economy so I can spend all this gold...
Video Link: http://www.youtube.com/watch?v=4fC_hxyrF4w&list=UUsIghHd1VyG2TEjIKCRU2gw Well this and the other 2 Siege of Neverwinter trailers. No gameplay at all but I think it's a good cinematic treatment of epic fantasy, something you don't see that often outside of Tolkien.
I'll be making one of all the characters to check out all their abilities, then settling on one to play with for a bit. Aw who am I kidding I'll never settle on just one...