For a broad location, each of the 12 Districts is important.  To Katniss, the districts are completely unimportant.  She is from District 12, which happens to be a very poor district.  Consequently, she must break some rules by going outside the fence to hunt food for her family.  The 12 Districts are more important to the reader though.  The author uses the 12 locations to help build a semi-plausible post-apocalyptic world.  Each district is ruled by the Capitol and should technically have the same socioeconomic situation, but they do not.  The districts are important because they represent the continued oppression of certain groups.  

The Capitol is another important location, because it represents everything that Katniss will be eventually leading the Districts against.  The Capitol thrives as other Districts starve themselves to make ends meet and give the Capitol what it demands.  The Capitol is a completely hedonistic society with no other concerns other than pursuing personal pleasures.  Even if it is at the expense of other people's lives.  

A third location is Katniss's home.  It should be a sanctuary for her, but it's not.  Her home is the most stressful place in Katniss's life, because it's there that Katniss is always confronted with the need to care for her younger sister.  She has to work hard at protecting and feeding her sister, because Katniss's mom is next to useless.  The mom operates in a near catatonic state, which forces Katniss to care for the person that should be strength center of the family.