You'll have to country you want to do, and the city where you'll be studying. Here's how to decide:
If you're not majoring in a foreign language or interested in one particular foreign culture, do some research. Look through travel guides and search the Internet to see what city appeals to you. Once you've narrowed your list down to a few places, ask around to see if you know anyone who did the program you were thinking of, and ask how it was.
If you are already majoring or minoring in a foreign language, it's likely that you'll want to study in a country where that language is spoken. You need to check to see how many credits toward your major or minor you will receive from each program.
You can also decide if you want to do a program directly through your school or through another college. There are advantages and disadvantages to both. If you choose a program through your own college, it's likely that your credits will transfer more easily, that you'll be around some people you know and will feel more comfortable, and that you'll have to do a lot less paperwork to get the process approved. If you choose a program outside of your university, you may have more options to choose from and will be more adventurous because you'll be studying with a group of people you've never met, but you'll have to do more work to find and apply to the program.