The three most important settings in The Handmaid's Tale are the Commander's home, the school where the handmaids are re-educated, and the changing times that are recounted in the narrator's flashbacks..
The Commander's home is clearly the most important setting in regards to the novel's plot, because this is where the majority of the story occurs. This is where everything that has been created by the Gilead founders is practiced. This is where the ceremony, the subjugation of the women and the de-feminization of women occur.
Massachusetts before the revolution is the most important setting in regards to theme. Throughout this time period, the narrator recalls the changing social view in relation to women. The way the narrator describes it, the killing of women went unnoticed and the subtle removal of women's rights were excused away. This is the part in which Margaret Atwood is warning her readers to be aware of what's happening today because the future could be the one the narrator is living in.
The most interesting setting is the one where the narrator is re-educated to be a handmaid. This is where the narrator begins to notice all the things that have changed. Listen to her description of the high school gym where she sleeps:
We slept in what had once been the gymnasium. The floor was of varnished wood, with stripes and circles painted on it, for the games that were formerly played there; the hoops for the basketball nets were still in place, though the nets were gone. A balcony ran around the room, for the spectators, and I thought I could smell, faintly like an afterimage, the pungent scent of sweat, shot through with the sweet taint of chewing gum and perfume from the watching girls, felt-skirted as I knew from pictures, later in miniskirts, then pants, then in one earring, spiky green-streaked hair.
There was old sex in the room and loneliness, and expectation, of something without a shape or name. I remember that yearning, for something that was always about to happen and was never the same as the hands that were on us there and then, in the small of the back, or out back, in the parking lot, or in the television room with the sound turned down and only the pictures flickering over lifting flesh.
Both show the narrator's yearning for the possibilities of the past.
There are many other settings in this story that are interesting. The difference between night and day, for example, would be interesting to explore. The club the Commander takes the narrator to would be interesting. The streets the handmaids walk through to do shopping would also be interesting.