|This article contains fan theories about the second miniseries / season. It is separate to avoid contaminating the main page with spoilers and speculation. It is subjective.|
Update: It was announced by Ryan Murphy in a TV interview that Season 2 will take place on the East Coast. The following has been updated to reflect that fact.  The following locations were mentioned in the last three episodes and thus could have been possible clues as to the location of Season 2:
Illinois - wrong
WRONG. In a generally rather illogical twist, Larry Harvey was transfered to a prison in Illinois instead of remaining in California in the episode 10 "Smoldering Children". Paramount Studios, where AHS is filmed already features a Chicago set. See also "Noisy Little Monster" clue.
Florida was mentioned several times, since Vivien's sister Jo lives there. She wants to escape the house and leave to Florida. This escape to Florida, of course, never actually succeeded.
The camera furthermore zooms in on the red sticks of the crib that Chad burns --> "Baton Rouge".
This was mentioned in episode 12 "Afterbirth". Violet says that since she is a ghost now, she will not go off to Harvard. Ben had saved a lot of money for her to go.
Historical Colony Roanoke, NC
We saw the colony in episode 11 "Birth".
This is where Constance claims Michael is from in the episode "Afterbirth".
The series that is shown on TV in the episode 11 "Birth", "wikipedia:Newhart", was set in Vermont.
It has been announced that Season 2 will not take place in a normal single family building or any other 'normal' living dwelling. Ryan Murphy announced in early February 2012 that Season 2 will take place in an institution. Two such locations were mentioned by Billie Dean in episode 11 "Birth": Billie Dean said the Murder House is a collection point for negative energy and that that is what traps the ghosts of Tate, Chad, Pat, Beau, Nora, Charles etc in the house. She states that two places are generally like the house:
This is reinforced by Larry being sent off to a prison.
See below, Lincoln Asylum.
Season 2 of AHS will introduce a couple of new characters called the Lovers . There's a possibility that the name may refer to the tarot cards.
Most important clue: In episode 11 "Birth"
Ryan Murphy teased that the 'secret' to Season 2 could be found in the episode ”Birth”.  The prison and asylum were mentioned in this episode.
In the opening sequence, the return address on the envelopes is an address in South Dakota. The exact address is from the fake name generator webpage, but South Dakota could still be a clue.
On other envelopes the return address is Lincoln, Illinois and Delaware. Lincoln, Illinois was home to the "Asylum for Feeble-Minded Children" from 1877 until 2002 (in later years under the name "Lincoln Developmental Center"), a severely abusive facility for children with developmental difficulties. It was shut in 2002 due to several deaths of children and recurring abuse. The huge buildings remain empty.  
UPDATE: Ryan Murphy has announced that Season 2 will take place on the East Coast. Thus neither Illinois nor South Dakota are in the running anymore. Delaware, however, is on the East Coast and cannot be ruled out as a possibility.
Clues in the last episode
In the last episode three clues were released. The exact timing of two clues that were not spelled out was released by AHS on Twitter: 10:54 pm and 11:04 pm.
- At 10:54 Ben and Tate are talking. Ben accuses Tate of acting everything and says that Tate is a psychopath.
- At 11:04 Constance is talking to her hairdresser and says that she took custody of Michael after relatives of hers, who lived near Richmond, VA died; leaving Michael an orphan.
- The third clue was spelled out: "Noisy Little Monster - tell you anything?" (This was the mocking nickname that Nora gave the baby of Vivien and Ben.)
One theory as to the meaning of this clue is that this was allegedly what the parents of the "Clown Killer" John Wayne Gacy called him as a child. This would once again lead back to Illinois as he was born in Chicago. However, this clown killer theory is very much weakened by the fact that this rumor of the nickname seems to rest solely on one college term paper and is not mentioned in biographies of the clown killer.
More likely theory: Since mostly teenagers are being cast for Season 2, the third clue could simply reference teenagers and children. (See also Lincoln, Illinois above)
- Pictures http://www.flickr.com/photos/rossaroni/4132260014/
- Abuse at Lincoln Developmental Center