The game industry is everywhere. The games are made in all parts of the world. If you're in North America or Western Europe near any major city, there's likely to be a handful to dozens of game companies nearby.
The major hotspots in North America for the game industry are San Francisco, L.A., Seattle, Vancouver, Montreal, Austin Texas where I am is a big hub for video games, Florida, Georgia's got a video center for video games, Louisiana's getting into the games. So really wherever you are there's probably a game company nearby.
And with the advent of social games and casual games explosion, a lot of games are being made virtually by smaller teams. So really you can find a game job just about anywhere in the world.