Absolutely. My favorite one is The Marriage of Opposites by Alice Hoffman which is set in St. Thomas. I started reading it just before going there on vacation and that made my stay on the island magical. I walked the same streets as the characters, went to the synagogue and the beaches mentioned in the book. It was fabulous.

Another one that comes to my mind but is not based on location is Bewilderment by Richard Powers. Reading it as a parent of a young child makes it an entirely different experience.