Let's talk about time first. This novel takes place in the height of the Decadent artistic movement of the late nineteenth century, making Dorian a contemporary of his author, Oscar Wilde. Although this trend (which celebrated aesthetic pleasure and sensual experience) began in France, Wilde was the major proponent of it in England. The influence of French Decadent writers can be seen throughout the novel, from the Gautier poem recorded in Chapter 14 to the extravagant, foppishly luxuriant style of Dorian's clothing and furniture. Although Wilde never gives a specific date for Dorian Gray, his inclusion of the yellow book – a loosely-veiled version of À Rebours by J.K. Huysmans – means that Dorian must be living some time after its publication in 1884.
Interestingly, the Decadent movement took place in the broader setting of the Victorian era, which is mainly known for its prudish, priggish social mores and über-judgmental standards. The contrast between dull middle-class society and the sins of the wealthy and corrupt upper classes makes Wilde's book all the more daring.
OK, on to location: Dorian moves freely between two major parts of London, the wealthy West End and the decrepit East End. In the West End, mostly in the super-ritzy Mayfair district, Dorian establishes his home, frequents various gentlemen's clubs, theatres, and symphony halls. In the East End, near the dock, the disguised Dorian steals into grotesque saloons-turned-opium-dens for an occasional high, and disgustedly rubs elbows with the various underworld characters whose lives he's destroyed.
The two settings represent Dorian's two sides. In the West End, he is the gallant gentleman, fashionable trendsetter, cultured aristocrat, and scandalous local celebrity. There he enjoys the highest art forms civilization has to offer – opera, theatre, painting, French cuisine – to fulfill his refined appetite. In the East End, however, he becomes a creepy, skulking, unambiguously evil specter (the "devil's bargain") – just as desperate as the next guy for an opium hit and generally trying to find ways to forget his criminal life in the city. Wilde vividly creates a doubled setting for a doubled life.