Where It All Goes Down
A Decadent Court of Renaissance Italy, and the Surrounding Area
Renaissance Italy
The play doesn't give a lot of clear geography, so it's hard to tell exactly where it's set, but Vindice describes the locale as Italy (2.1.61), and the names sure sound Italian: Vindice, Lussurioso, and so on. Italy is a favorite locale for English playwrights of the era looking to tell a story of over-the-top decadence and violence.
English playwrights of the time were pretty biased about foreigners, and they loved to portray Italian courts as fantastically decadent places where the glitter of wealth hid a core of sin. Imagine a high-living classic Hollywood party scene or a fancy Vegas casino run by the Mafia, and you get the idea of how English playwrights of Renaissance usually portray Italian courts.
Court and Country
The Court in this play (and many others of the same time) is a place of corrupt glamor. You can almost see the red velvet couches, crystal chandeliers, and ridiculously expensive attire. It's all tempting, attractive, and deadly.
The country, on the other hand, is associated with virtue and quiet living. Away from the false glitter of the court, people can live virtuous lives. Castiza, for instance, lives a quiet and chaste life in her own house, away from the court.
Dark, Creepy Locales
Like any good horror film, The Revenger's Tragedy does some good work on creepy places. For instance, Vindice plans to kill the Duke in "this unsunned lodge/Wherein 'tis night at noon" (3.5.19-20). Try to stop the chill from crawling up your spine when you read the description of that place. And then, of course, there's all the skull stuff. But for more on that creepy accessory, you'll have to hop on over to the "Symbols" section.