2540 C.E.; London, England and New Mexico, U.S.
OK, let's start with the time. Huxley establishes in Chapter 1 that the year is A.F. 632. We are told in Chapter 3 that the introduction of the first Ford Model-T was year "zero" for this calendar, and our car-fanatic friends tell us that this monumental event happened in 1908 (C.E.). Then we talked to some other friends who are good with numbers, and they came up with 2540 as the year in which Brave New World takes place. Or, in layman's terms, THE FUTURE.
But Huxley isn't one for layman's terms. He creates an incredibly elaborate and nuanced setting for his novel. He provides details about everything from technology (vibro-vacuum massage, scent organ) to professions (Director of Hatcheries and Conditioning, World Controller) to down-time activities (Centrifugal Bumble-puppy, anyone?), and from the cityscape (the seven skyscrapers twinkling over Guildford) to individual buildings (The Internal and External Secretions Factory, The Hounslow Feely Studio). Basically everything you see capitalized has something to do with Huxley setting up an atmosphere for his tale.
In essence, the more disturbing the setting and the more complete the picture, the more effective the novel. If Brave New World creeps you out, Huxley did his job well. All this elaborate detail, while sometimes outlandish, makes the idea of a "World State" that much more plausible in our minds. We start to see how a society like this might function, down to the smallest detail. It's also the details that allow Huxley to parody our own world so effectively. Christianity has crosses; they have T's. We say, "Thank God!"; they say "Thank Ford." We play mini-golf; they play Obstacle Golf. See where this is going?
Finally, as far as a specific setting goes, there's a clear dichotomy between the Savage Reservation and the civilized world. The two landscapes act as a foil, which we talk about more in "Character Roles" (which is tricky of us, since settings aren't characters).