In the ruins of an ancient city.
On a faraway island.
Underwater.
In a cave.
In a temple that's used by a murderous cult.
In a village of "evil" creatures.
In the sewer.
In an underground bunker.
In an enchanted forest.
In a non-enchanted, but still incredibly deadly, jungle.
On a ship (sea or air) that continuously moves across the world, never stopping to touch land for more than an hour to refuel and pick up supplies for its crew.
In a heavily-guarded museum filled with other things you've stolen.
In your vault at the Evil Overlord Bank.
Out in the open, surrounded by traps.
Under your hat.
And of course, you can combine many of the above for extra fun.