The Winchesters lived in Lawrence, Kansas and it's the only real city they can call home even though they had to abandon their roots. John and Mary were married and had two sons, Sam and Dean. When Sam was only six-months-old an intruder entered his nursery. Mary went to check on Sam and she was confronted and killed by a yellow-eyed demon in their quaint suburban home. Lawrence, Kansas doesn't seem to be a particular "hot spot" for demon/magical activity, but it's more likely that the demon specifically wanted Sam no matter where he lived at the time.
Also residing in the city is Missouri Mosley who aids John Winchester in his new demon-hunting lifestyle.