My first reaction was "space, obviously, like every other franchise in existence!" Even the freaking Leprechaun horror movies went into space, eventually.
That said, underground could be an interesting idea but they'd have to probably try and keep it from feeling like a Fallout setting. Or rather, Bioshock underground makes me think of "what if instead of going into the world of Fallout, the player stumbled upon a long forgotten refuge from the nuclear holocaust that either 1) never came or 2) has since played its course.
Land would be interesting in a "Land that Time Forgot" sort of way. I could definitely see both ideas working. Still, if they did go into space, they'd have to keep it from feeling too much like Dead Space or Halo. Insofar as the writing or atmosphere goes, I mean. Obviously the gameplay is different.