Answer:
Metropolis (referring to the imaginary city in which Superman resides) is located in New York U.S.A. In fact in Superman Returns Lois Lane tells a cab driver to take her to "312 riverside drive." An actual address located in New York.
However this depends on what medium you're watching or reading. In the show Smallville, it's implied that Metropolis is also in Kansas since Lois seems to have no problem getting between the Kent Farm and the Daily Planet in a relatively short amount of time, without Clark's help, since she sometimes goes there to look for him.
Though in the comics, I believe that it's implied that Metropolis is Illinois, and Gotham is closer to New York, being in like Northern New Jersey.