If your business markets to a local customer base, putting your location onto your web pages and SEO code can help you gain better search engine traffic. List the locations you serve in one place on your website. The right sidebar is usually the optimal place for the list.
Put your business location at the bottom of the page, with the copyright info - use your city and state. Do not list other surrounding locations here.
List all relevant surrounding locations in your keyword tag. Put only the most important two or three in your Description tag (remember, this should be human readable!).
List only a single location in your title tag, along with the state name. Again, make this human readable, and remember to follow the rules for a proper title tag.
Do NOT put lists of locations in any other areas, do not use comma separated location lists in title tag, description tag, or alt-tags. The above places are the only places you need to list your location for the search engines to pick it up and index it. More than that, and it may be classed as Keyword stuffing.
Remember to not elevate location over product or service. Location is just a factor that helps draw a certain type of traffic. It isn't the most important factor at all.