Let's see... in no particular order, we've set them in the Shire (several times- we seem to find the notion of Hobbit bloodbaths strangely poignant), in Rohan, in Gondolin, in Minas Tirith, in Lorien, in Valinor(!), among the Woodmen, among the Rangers, on Amon Rudh, in Bree, in Numenor (several times), in Belfalas, in Harad, in Lorien, in Brethil, among the Lossoth (the first Duelling Wizards), among the Wargs, among the Trolls, on the Helcaraxe, in Beorn's house, in Tom Bombadil's house, on the actual Barrowdowns, among the Corsairs (repeatedly- arrr, we like to be pirates, me hearties!), in Angband, in Utumno, on Ard-Galen (the first Dead Thread game), in Hithlum, in Ossiriand, in Erebor, in Laketown, in Shelob's lair, in Ithilien, in the Misty Mountains,
under the Misty Mountains (in which we were Orcs and oddly enough the game ended in a bloody massacre of the entire village- ya hoi!), in Tol-in-Gaurhoth itself (twice) and there was even an alternate history one wherein Saruman returned to the light and somehow persuaded the Council to form an entirely different Fellowship including
Uglúk!
Well, revisiting all these past glories has occupied a rainy evening for me, but it does show the difficulty of finding an unused Middle-earth setting.
However, there are a few notable locations that don't seem to have been used yet, including, oddly enough, Rivendell. You could perhaps do something with that. Eregion at the time of the Gwaith-i-Mirdain also strikes me as having potential for a Duelling Wizards game, and then there are still some vacant- as it were- First Age settings, including Doriath and Nargothrond. Also I don't think there's been one set in Thranduil's halls, or in Fangorn (though perhaps that's for the best, given what dedicated roleplayers we all are- Day One alone could take
weeks).
Anyway, it's your game, so feel free to use these suggestions or not as you like. As I said, it's been fun looking up these old threads anyway.