WOW!!! That's a great question! I originally had an answer but, after reading all the replies (which were equally as good as the question) I need to rethink. There were just so many great ideas, I really don't know.
If I had to take a stab at it, I'd say a habitable planet located near a dim star right on the edge of a super cluster of galaxies.
This way...
1) We could study the effects of massive gravitational forces at work.
2) We could study the effects of gravitational lensing.
3) Because of the dim star, night time viewing would be much darker and much longer (probably colder too). Also, it would be much easier to study our parent star with alot less solar filtering involved.
4) Becuase the planet is habitable, we could study other life forms on the planet.
5) We have our choice of which galaxies we would want to view (probably from hundreds or even thousands that would be within naked eye viewing). Imagine looking at star clusters or nebulas in other galaxies.
6) Because of our vicinity, we could perform black hole research on multiple galaxies...up close.