When I read, I want to be swept away. Not just by the characters, but by the environment/world that they live in. For me, I don't need the exotic. Whether it's set in downtown... let's say Toronto... or in the middle of the jungle, if done right, I can get lose in whatever world the writer builds. This includes paranormals or urban fantasies. I don't need an exotic local, but it doesn't hurt. I will agree that it's always nice to get lost in a new world, one so vivid in its rules and detail. That world defines the mood. For me, exotic= dark. Take Christine Feehan's Carpathians for instance.
But I don't need it per say when reading a book. I can get just as absorbed in a book about a small town and I have great respect for those who can weave details of a town in that are easily recognizable.
Writing, is another thing altogether. For me, I'm not able to do those little details for a known town. I like writing isolated settings. For instance in my Fatal series, it takes place in the mountains. There's a small town but the story by no means takes place there. It's there as background information, nothing more.
What about you? Is there a certain kind of world you like more? Is it the same when you write?