Given my indecisiveness, I have two.
It's not technically in Skyrim, but the portal is - I'd go with the Soul Cairn. I don't find it that depressing, plus it's the best return-favor for Durneh-bro. Maybe I can soul-trap a few followers to liven up the Reaper's crib after I repossess it!
As for a location actually in the province, then maybe I'd set up shop next to the Crabber's Shanty. The river and the mountains are perfect scenery, and you have visiting crabbers to trade with and talk to. It's also close to Morthal for alchemy supplies, but maintains the feel of the Reach.
Not entirely certain, but I'd get to hang out with Durnehviir, and with the souls just drifting along the roads (outside) there's plenty of space for real estate development!
Also, security. I don't think anyone would be robbing/assassinating me when their target is surrounded by creepy lightning and skeleton summons. On top of that, (besides the DB) only Serana and Valerica know of the portal - the former is a good friend and the latter is pretty grateful for our services, so no back-stabbing there.
Raven Rock if it's aloud! If not I would lead the Dunmer out from the oppressive rule at Windhelm and move down to volcanic tundra where I would build a Velothi style village around the Bone Strewen Crest.
But seriously I would probably live in Markarth. I'm from Scotland so the rain, mountains and mist really appeal to me. Also for some reason The Reach feels like the most adventurous of all the Holds in Skyrim. It just feels like a place where anything can happen with the Reachmen camps, Orc strongholds and dwemer ruins. Also living in an actual open air dwemer city would be amazing!
I want to live under the "Honningbrew Meadery".i'll renovate the place and turn it into an underground tavern/inn while I illegally take wine above my tavern/inn .It's hidden and secluded from the threats of the outside world and it gives off a trademark of the inn (first successful inn in a freakin cave!!!) or maybe I can just buy the meadery from Maven but that's a bit trickier and harder than the underground inn/Tavern.....