I like Playboy X's apartment, because it's a pretty nice, unique setting, and gives you a lot of options. It also lets you decide how intense you want it to be, since the cops can't get right up to you there (though they can come up the stairwell to get to the roof of the building behind the apartment), and it's a cool effect to retreat inside and see the helicopter fire cracking the windows. I also like
It also has several exit points for different escapes.
Another place I like is the Sprunk Warehouse from the first Mission with Manny. You can go back to it later, and it's a cool "last stand" place since the only exit is the front door, and all the cops are coming in through it and trying to pin you down, so seeing how long you last and how many you can take out is cool (though the Spunk soda machine helps you keep your health up).