An underground complex is sort of a classic claustrophobic setting which can be made as big or as small as you need it to be, though I suppose whether you use it would depend on whether or not you think your plot can facilitate it. For that matter, even an above ground complex, or a space ship, submarine. There are lots of claustrophobic spots you could use.
EDIT:
Also, castles, ancient temples, prisons, research facilities, dense forests (though a forest could just as easily be kind of agoraphobic, or perhaps even both at the same time), or anywhere after you pop one too many tabs of acid.