We might be in Verona, but don't think you're reading a travel guide: Shakespeare's setting of Verona is more like a shorthand for "exotic and crazy" than a real setting.
What we think is super cool about the setting is how Shakespeare shows us that Romeo and Juliet have such different worlds. We always meet Romeo in the streets, never in his own house—even though we do hear that he likes to spend a lot of time moping around his bedroom. But in general, Romeo is part of a freewheeling and masculine world, wandering around the streets with the other hot-headed violent street youths from both families.
Not Juliet. She's a sheltered daughter, almost never allowed outside the walls of her father's house. Almost all of her scenes take place inside; we never see her on the street. Romeo has to actively invade her world in order to meet Juliet by crashing the Capulet's party and then climbing up to her balcony.
And then there's Friar Laurence's church, a neutral place where Romeo and Juliet's world can overlap. This seems to be the only place Juliet is allowed to go outside of her home, (for purposes of confessing sins—presumably not to commit them). Friar Laurence is Romeo's confessor as well. What does it say that this religious setting is the only neutral place in the play? Does it set up the Catholic Church as a force for good, or as a secretive and destructive power? (Hint: the Catholic Church was not super popular in England in the sixteenth century.)
Like most of Shakespeare's plays, the setting is so vague that theatrical and film interpretations of the play can go wild: from West Side Story's 1950s New York City, which is divided by ethnic tensions, to the futuristic "Verona Beach" of Baz Luhrmann's film version of Romeo + Juliet. What most interpretations keep is the sense of a hot climate that provokes the passions, as Benvolio tells us: "For, now, these hot days, is the mad blood stirring" (3.1.1).