When: Not much preference, but I do tend to read a lot of books set in the future, though in recent years, I've read more set in the past and present than throughout the '80s and most of the '90s.
Where: Unfamiliar locales, which of course, can include alien realms. heh. I like books to take me places I don't know.
Who: I tend to prefer male protagonists (lust factor, I think), but I mostly just love a good story.