Thar is a cool place, the last D&D campaign I played was centered around Hulburg and the invasion surrounding the events of the book. Heck, the whole Moonsea is a cool place. The Dalenads and the Vast, further south, are also fun places for adventurers. Cormyr, as I recall, was another kingdom that welcomed adventurers. The Sword Coast is always fun, I mean - Daggerford, Waterdeep, Baldur's Gate, Neverwinter, Luskan...damn, those are some pretty iconic places. 

I guess it really depends on what sort of feel you want the campaign to have. Are we a straight-up group adventurers out for profit? Part of some organisation? Established heroes fighting against (or for) evil?