I agree with dashingscorpio... It's not necessarily about an elaborate, expensive location, but somewhere that is special to both of you!
Like, a romantic spot near you (a garden of roses, a lake or beach), a mutual favorite (when your favorite team scores a touchdown or at a favorite team's game, favorite restaurant), or just somewhere that is generally special - like (as dashing said) the place where you two first met.
Creativity and sentiment are keys, not location per say.
Besides, women want a nice wedding. Save the money you would've spent on the proposal for her to use for the wedding. ;) haha (kidding)