Why, Denmark, of course. Yes, it's inconveniently close, but you know...
Danskjävlar!!
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Another potential target would be the Vatican. Unfortunatly, it's right in the middle of Rome. It'd have to be a rather small nuke. If it's laser-guided down Mr. Pope's chimney during the night with less tourists (and hopefully less random clerks and guards) about, perhaps it could be pulled off without too much collateral.
A third would be some remote location in Antartica, so that I could observe it. Would be even better if it co-incided with a birthday party or a wedding or some other celebration. Now, that firework would be talked about for -years!-