Since Henry was a little boy, he has loved museums. When his parents promise to take him to the Field Museum of Natural History, he's so excited that he can't sleep the night before, thinking about "the wonders to be seen there." It seems like part of his love has to do with the fact that in museums, time seems to be controlled by a higher order: "Here all of nature was captured, labeled, arranged according to a logic that seemed as timeless as if ordered by God" (1.2.7). Past, present, and future neatly exist in a one, timeless unchanging universe. It's a universe not of Henry's making, but of God's, which is why it is ordered by some unknown higher purpose.
Henry, on the other hand, has no control whatsoever over his universe. He's at the beck and call of time. Therefore it's interesting that the first time he time travels he returns to the Field Museum of Natural History. As a time traveler he would, of course, feel at home in a place where past, present, and future coexist in a determined order. He would feel a sense of belonging and security. This idea also ties in with Henry's job at the Newberry Library, another place where the past through the future co-exist, catalogued and organized. Check out "Setting" for more info.