Um, A Bunch of Places
A train. Mombasa. A warehouse. A plane. A bunch of insane dreams. Listing off the settings in Inception is as hard as listing the movies that Meryl Streep has been Oscar-nominated for.
There are just so many.
Let's start with the warehouse. It acts as kind of a home base, it's where the team is assembled, and it's where all the planning and dream training happens.
Then we have a bunch of transportation scenes: the aforementioned train, plane, and a helicopter. These are convenient because people are unoccupied and unattended while traveling, a perfect time for brain hackers to get their hands dirty.
Then there's the one real world outlier, Mombasa. It's actually much more akin to the dream worlds than anything else. Nolan actually remarks that Mombasa was meant to be a very maze-like labyrinthine kind of place that would mirror the kinds of settings Ariadne would create.
In fact, it's so notoriously bizarre that the Swahili poet Muyaka wrote of Mombasa, "Even those who are well-informed do not comprehend it." Huh. Sounds a bit like a dream, eh?
Speaking of dreams, let's look at the four dream worlds. We have a metropolitan city of sorts, a classy hotel, a snowy fortress, and a ruinous coastal city filled with all sorts of subconscious insanity. Needless to say, we have a real world traveling type of feel here—kind of like a James Bond movie.
Why does this matter? Look no further than our next section.
The Color Palette Of Dreams
Each dream world is distinguished by a particular color palette, which was created on set. Nolan didn't want his editors to be tied up adding hints of color here and there and constantly tinkering with filters to make the worlds visually distinct, so he wrote this distinctness into the script (and this helps more than you might realize; just think how confusing it would be if the four settings were each different grey American cities).
In the first level it's raining. Right there we have our visual cue: rain equals dream Level #1. It's nice and simple and brings that dark, dreariness to the scene that the others lack.
The second level is the only one that takes place entirely within an interior. The hotel hallway and rooms have lots of browns and yellows, which keep us oriented (despite the disorienting gravity).
Dream Level #3 has probably the most blatant color palette: white and white and a little grey. Snow is everywhere and all the characters, projections included, are wearing white camo to blend in. The fortress is grey and the safe room is black highlighted with whites.
Limbo is a bit less distinct when it comes to pallet, but the giant crumbling buildings don't leave much room for confusion. In the final scene of Limbo, we've already put everything together because we've seen it before—meaning both the exact same scene and the same interior in the Saito extraction dream.
Nolan cuts back and forth so freely that giving each setting a distinct look (in terms of both physicality and color) was crazy-imperative.