The majority of my lucid dreams always start with me in my house. These dreams occur in the morning when am in and out of sleep. Usually, I actually start in my bedroom and I can move around inside my house or I can go outside. I can travel through walls and do some levitating, nothing too exciting. I guess I should try to travel through a mirror or something...
More rarely though, when I realize I'm dreaming when I'm in a deep sleep during the night, I am usually in an unfamilliar setting and there is a lot more stuff to experiment with and observe.