The answer I normally give to this question is you should workout wherever it’s most convenient for you. By convenient I don’t just mean "easy access" but also a place that will keep you motivated and not seem like a huge hassle every day when you want to exercise. For example, don't pick a gym that's off your normal route. Stay away from places where you need permission to be there, such as a friend's house. And beware of rooms where you'll be distracted by other things and never actually do any exercise.
That's my usual answer, but today I have a new answer. It’s something that may not work for everyone all year, but I think it’s worth mentioning.
Whenever possible I think you should exercise outdoors. I understand you can’t always get out because of the weather, or whatnot. That’s fine. I also think if possible, your exercise room should overlook some sort of natural setting, or at least contain some plants and outdoorsy type stuff to set your mind at ease.
When I used to train folks in person I tried to always take them outside when the weather was nice, and I always seemed to notice a little extra energy and enthusiasm (except when they thought people were staring).
I thought about all of this after reading an article about how city life can actually disrupt brain function because of all the protective instincts we have. You can read the article here.
It talks about how much brainpower it takes to negotiate a city without constantly being distracted by unnatural external stimuli.
I don’t have any hard science beyond this article to back it up, but I do know that people with mild sun exposure are generally happier than when they can’t get any sun (usually during the winter). I also know that I personally find nature to be relaxing. I've never taken a brainpower test after a walk or bike ride through the woods though.
So give you brain a rest and try to combine some exercise time with some outdoor/nature time whenever you can. That way you can emerge from your workout more at ease and ready to be productive in the rest of your life.
Besides, it's always nice to get some fresh air and green scenary as you jump, squat, bend, push, pull, and squeeze your way to a stronger, healthier body.
If nothing else, go take a hike (I just had to say that).
