Both. Also travel mostly.
If you want to experience something a bit different from the norm, you often need to be prepared to travel (wherever you are).
On the other hand, sometimes its nice to relax with people you know locally, and have more of a social night.
I wouldn't support an established DJ or night locally just because its local, though I will always give something new a try.
Of course, it also depends on other factors like budget, driving, etc.