I tend to run games in modern settings with lots of "supporting cast" NPCs, so I generally lean toward making the PCs new arrivals in the game's locale. It seems to cut down on confusion about what the characters "should" know about the supporting cast. If they're new arrivals, they can start out not knowing anything about the NPCs, just like their players. :)
On the other hand, I could see a number of rationales for making the PCs native to the location - if, for example, the plot calls for the characters' home town to be threatened by the game's Big Bad, it makes sense for them to all be from the same town. Or if the GM wants the characters to have a bond right from the start, perhaps they're all from the same place.
I guess it comes down to personal taste. Opinions?