I would build it in skyrim, close to a waterfall or somewhere high and it would have a stone fence with a little farming garden outside with a few guards and a few guard towers

If I could build my house anywhere I would most likely pick a large city and put my mansion in the city park. This way I have a nice place and easy access to the bank, AH...errr GAH, etc....
Probably a small village near Mournhold or Blacklight that has a pond or creak in my backyard.
Out of curiosity KnightX7, how would you feel about neighbors since a waterfall spot would no doubt be popular? Would you go king-of-the-hill PvP and be the sole owner of the land, or do you not mind company as long as they don't bother you too much? The Hlaalu Stronghold you get in Morrowind is awesome, but for ESO I imagine I would want my property built into a fortified structure (such as a mountain with an underwater entrance). I would train my slaughterfish and guar to eat all intruders.
Near a cave system and a river/lake. I like alchemy and would try and cultivate the local area to support the crafting. The building would be one of the famous mushrooms of the Telavani house or a stone lodge.
A tower on a mountainside formerly owned by a mage. I'd be a cat. But I think I'm dreaming here. My prediction, we will be lucky to get some sort of generic instanced housing maybe a year after launch.
Obviously it'd have to be a harem in elsweyr.