i started doing it in/around san francisco this summer. pretty dope cause we have a lot of abandoned buildings as well as bunkers dating anywhere from the pre-ww1 through the cold war. its a lot of fun but the sketchiness factor is pretty high. the cops take it very seriously (or so im told, so far no incidences), you gotta watch out for shit that will cut you up or asbestos (big problem here in the military bunkers) and keep in mind that the people you will run into will either be a) tweakers b) graf artists or c) unlikely, but other explorers.
still; when you get inside an area first time its a pretty cool, eerie, and addicting feeling -- really awesome but at the same time creepy as shit. plus its a good opportunity to practice tagging or photography.
^this was the first place i ever explored -- got me hooked right away.