Many paranormal stories are set in urban settings. The genre of Urban Fantasy even indicates in its name that stories falling into this genre should have a cityscape setting. Much as I enjoy paranormals that are set in cities, especially cities rich in history, what I really enjoy is a country setting.
Many rural areas are imbued with a mysticism that an urban setting can never hope to match. Imagine a tiny Scottish hamlet, the home to generations of families living in stone-built cottages, where the history of magical belief and violence from the past breathes with the wind whistling along the valleys between the mountains, or an ancient manor house sitting like a huge slumbering beast among the desolate windswept hills of Dartmoor. Or my favorite, a verdant Cornish valley full of wild flowers where a tiny stream trickles between the abandoned tin mines from its rocky spring on Bodmin Moor down to the Atlantic.