New York has always been a hot spot for entertainment acts and sporting events, including wrestling. Madison Square Garden is the world's most famous arena for a reason, and the McMahons, going all the way back to Poppa Vince in the WWWF, have used that building more times than anyone.
Toronto is a hot spot as well. It's Canada's version of New York. Montreal is also a hotbed for wrestling.
Philadelphia is where ECW was born. What more needs to be said? This is the same group of blood-thirsty fans who cheer when guys suffer career-ending neck injuries on the field.
Chicago has one of the best (if not the best) atmosphere for wrestling events. It's one of the towns WWE (and various wrestling promotions in general) has frequented the most over the years.