Los Angeles is the setting of the main storyline in the Pilot. Mike Peterson and his son, Ace, originally live in Los Angeles. It is where Skye and Mike first meet each other, after Skye sees him using his superpowers to save a woman from an exploding building. The GPS settings necessary to decrypt the computer in Skye's van are also here. It is also where Skye and Ward return to when she attempts to lead him away from the team and to get him captured.
in later seasons, S.H.I.E.L.D.'s international nature has them hopping all over the globe.