As regulars on the board know, I've been a frequent traveler for a number of years. I'd have to say one of the most disappointing...and most surprising....is Key West. I was really looking forward to sampling the DX there on a visit two years ago, but conditions were awful. The place is small, compact, and loaded with noise sources to disrupt DXing. (Of course, as a destination otherwise, Key West is an absolute blast)!
I'd also have to say that the southeast is also generally not great for DX. In the summer, thunderstorms are frequent. And if you want to DX in the daytime, ground conductivity is usually pretty awful. Awful ground conductivity is also a problem in interior New England, much of the rest of the Northeast, as well as much of the interior Pacific Northwest.