As an Engie I tend to have three main worries: Demos, Spies, and distance.
Demomen are a constant source of frustration- I can't repair if you do enough damage all at once to destroy my Sentry, and I typically can't engage and kill fast enough.
Spies are a career hazard- there's a lot of good Spies out there who can dodge fast enough and Sap quickly enough that the Sentry's toast. Not much can be done there with regards to defensive positions. You just have to shoot your allies more often.
And distance. Distance is the big killer, the one most classes can exploit and the one that I hate when it comes to setting up. Snipers, Scouts, Engies, Demomen, Spies- anyone who can find a good position where they can destroy the Sentry without it responding to them is a big threat. I hate locations where I set up only to constantly come under fire from someone in a tower or other location over 1024 HU away. At best, I spend all my metal and time repairing to keep up, while harassing allies about getting rid of the person.
So if I was to describe an ideal location, it'd probably be something like this: all firing angles enclosed by walls 1024 HU away or less, the position bottlenecks a small room so that Spies can't sneak up behind me, and angles so that a Demoman can't drop four stickies on my Sentry without getting shot to hell and back.
Best I can think of offhand would be near the end of the second stage in Cranetop. The defender's spawn point opens onto a room, and just past the room are two small L-shaped rooms that bracket the cart path. One of these has only a single entrance and is angled so it's difficult to sticky a Sentry that's set back from the doorway. There's enough room to set up a Dispenser and possibly even a Teleporter, but little else. There's no open angles to it- you either follow the cart path or you drop down the vent in the opposite room, which puts you in front of the Sentry within 1024 HU.
Downsides: no convenient source of metal, can't escape once you've got the gun up, and a Spy could run up in front of the Sentry and sap it to death. If you put it too far forward a Demoman could also sticky it away.