Argos and Egypt
Io's story kicks off in the area around the Greek city-state of Argos. Back in the day, Argos was one of the powers-that-be in ancient Greece; they were constantly rivaling Sparta for control of the Peloponnese, the big old peninsula that wiggles its toes at the bottom of Greece. The legend of Io was a big deal back in ancient Argos, where it was part of the bundle of stories that made up the city-state's founding myths.
A bunch of the figures in the story got a whole lot of love from the Argives. For starters, Hera was a patron goddess of the city. The folks of Argos just couldn't get enough of the queen of the gods, so they built a temple called the Heraion for her, the ruins of which you can still check out today. In some versions of the story, Io is actually the first priestess of the Heraion. Io was worshipped alongside Hera in Argos, and Io's father Inachus was said to be the first king of the city-state.
So there you go. Io and Argos were like peas in a pod.
After Io is done wandering all over the place, she eventually ends up in Egypt, where Hera allows the gadfly to buzz off and Zeus transforms her back into a nymph. To Io, the land of pyramids and pharaohs is the Promised Land. She finally escapes her sufferings and settles down of banks of the Nile. Yay, for happy endings.
In some tellings of the tale, Io ends up becoming a major goddess in Egypt, where she is worshipped as the goddess Isis. This would've been a pretty serious honor to say the least. Isis was a majorly important goddess in ancient Egypt, and her cult actually ended spreading all through the Roman Empire. Some say that the part about Io becoming Isis came from the fact that both lovely ladies were sometimes depicted as women with the horns of a cow.
More on the Io-Isis connection in "Parallel Myths."