Brazil for me. Super long season and brutal schedule. Plus, European clubs constantly raiding your squad.
As for Europe, England has become a bit of a pain due to the work permits. So I prefer to avoid managing there nowadays. Plus, I didn't find managing in the Championship all that entertaining. Like Brazil, the season is very long.
Before you ask, no I haven't tried the MLS. And I don't think I want to either, from what I read.