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I agree mostly with those above stating dont build a new web site. Just to be different though - another option is a local sub domain. e.g. chicago.yourwebsite.com. This has advantages such as keyword in the domain name, it receives some link juice from the root domain and depending on your keywords you could get your root domain and sub domain in the same search results. That said I have actually advised against this in the past as a sub folder on the root domain still has more chance of ranking well than the sub domain for lots of reasons I wont go into now.