I think it was Boston....I could be wrong though.
EDIT: I just found this on Wiki...
"After choosing a setting, the three had to choose a location. Early discussions centered on Barstow, California, then Kansas City, Missouri. They eventually turned to the East Coast and Boston. The Bull & Finch Pub in Boston that Cheers was styled after was originally chosen from a phone book. When Glen Charles asked the owner to shoot initial exterior and interior shots the owner agreed, charging $1. He has since gone on to make millions, licensing the pub's image and selling a variety of Cheers memorabilia, making the Bull & Finch the 42nd busiest outlet in the American food and beverage industry in 1997. During the casting of Shelley Long (who was in Boston at the time filming A Small Circle of Friends), Long remarked that the bar in the sc
Most Cheers episodes were shot before a live studio audience on Paramount Stage 25, generally on Tuesday nights."
In a bar.
Well, in the beginning of every episode I saw, the voice-over stated that "'Cheers' was filmed before a live studio audience.'"