(For more on the fictional county of Wessex, which is based on Hardy's home county of Dorset, check out our "Brief Summary" of the novel.)
Hardy makes it a point to name every part of the novel after a specific place or places, so setting clearly means a great deal to him. What we gather from the multiple locations is that Jude (and later Sue) roam around a lot. They can never simply stay and be comfortable in one place; they are literally out of step with the world around them. However, Christminster always remains at the center of all of Jude's wanderings. Major events throughout the book occur in this setting that means so much to Jude.
The multiple settings also allow Hardy to explore the differences between country and city life and class. When Jude learns about Christminster early on in the novel, he is told:
'As we be here in our bodies on this high ground, so be they in their minds' (1.3.37).
In other words, Jude believes (at first, at least) that the minds of the people of Christminster are literally higher and more elevated than those of the people around him at Marygreen. Not only are the settings different, but the settings also define the people who live there. That is one reason Jude wants so badly to go to Christminster—a topic we tackle in our "Character Analysis" of Jude.
Hardy's vision of life in Victorian England is pretty awful. Jude and Sue struggle so much because they want to express their feelings openly, but they are not married (at least, to each other), which is a big no-no in 1896. At the same time, marriage isn't necessarily an answer either, because it comes with all of these legal inequalities for men and women that Sue can't tolerate (and justifiably so).
So Jude and Sue are caught between a rock and a hard place: they have great passions that they want to show to the world, but the world they live in is too attached to social and religious convention to tolerate Jude and Sue's feelings.
This contradiction between rigid social values and personal emotion really demonstrates one of the key things about the late Victorian period in which Thomas Hardy was writing. This was a time of huge social change as more and more people left the countryside to join city life in larger numbers than ever before. (People like, oh, say, Jude Fawley, perhaps?)
Hardy's portrayal of the intense moral and class-based conflicts between progressive and conservative points of view in both city and country life definitely draws our attention to late Victorian England as a place of social repression, upheaval, and conflict. And unfortunately, Jude, Sue, and especially Little Father Time pay the price for being in exactly the wrong place at the wrong time.
After all, with their freethinking attitudes about having kids outside of marriage, Jude and Sue are living a twenty-first century relationship in 1896. They get a huge amount of flak for making choices that, just a few generations later, have become totally ordinary and commonplace.
In the end, exhausted by their solitary fight against old school, traditional models of marriage and religion, Sue exclaims, 'We must conform!' (6.3.20-23). Following the economic disasters that drive LFT to murder-suicide, Sue can no longer stand being the novel's main representative of changing attitudes towards marriage and the role of women in the family.
Sue's ultimate, defeated return to Phillotson and to rigid Christian morality represents her turn away from all the new politics she embraces during the novel. But Sue's ultimate failure doesn't mean that those revolutionary ideas she argued for in much of the novel aren't still floating around as possibilities for a future place and time. Maybe Jude and Sue get ground down by a conservative society unwilling to accept their rebellious views, but the intense religious and social repression that they face is also the last, furious gasp of a world on the edge of enormous change.