Depends. If I want a challenge, I just go to Star Junction (Or whatever you call it, the Time Square ripoff.), and start shooting. My record is surviving it for around 2 and a half (real) hours with 6 stars, using no cheats.
If I wanna try my luck with some choppers equipped with nothing but a combat gun, and on top of that huge ass building with the emergency stairs leading up. Although it IS a pain in the ass to get up all the way, sometimes it takes like 4 or 5 minutes.
If I wanna test my sniping skills, is usually use a truck to enter the Alderney State Prison, seize control of a random tower, and start shooting. The great thing about this location is that once you get bored of sniping the guards, the choppers, and the police outside, you can grab another weapon of your choice (I usually go with Knife or SMG.) and try to make it to another Tower, then another one, and maybe across the field and sieze control of the central tower.
Of course I also like the any of the Hospitals, the Playboy X apartment, the Sprunk Factory, and so on...