Answer:
According to the town history at the official website, Eureka is located in "a remote area of the Pacific Northwest." I'm pretty sure I've spied a map while watching the show that indicates it's in Washington state...but of course, that's unofficial information. ;)
(Update: in the 12.07.10 episode "O Little Town", a road sign shown onscreen in the opening minutes (a flashback scene, as the character Sheriff Jack Carter recounts a story to a few snowbound kids in Cafe Diem) partially reads "Eureka Oregon").