My understanding is that you are suing in federal court because of an enabling statute--discrimination of some sort. You can sue in any federal court because all have jurisdiciton. File where you, or your attorney wants, but understand the defendant may make a motion to chage the venue.
They may want to change the venue based on the fact it is unreasonably burdensome to defend. It may cost you money to defend the motion. The type and size of the company is a fact which is important as are where the events occurred and where a corporate defendant is a "resident" and/or where its principal place of busisness is. Venue rules are in many places and it is hard to see if they would win without more specific facts.
Info edit:
Because I'm feeling charitable, I pulled out Rutter's and find that, for a federal question, the venue statue generally (specifics can override):
1. Venue is proper if all defendants are from the same state, a district where any one of the defendants reside, OR, a district where a substantial part of the events occurred, OR, if no other district, in any district in which any defendant may be found.
2. The statute which gives the federal court jurisdiction may also give venue rules.
a. Jones act: where employer resides or has principal place of business
b. Title VII: where relevant employment records ar emaintained or administered or where plaintiff would have been employed but for the practice; otherwise the defendant's principal office.
3. Discretionary venue for the "convience of parties and witnesses" or in the interest of justice.
4. You can have pendent venue too. Each claim should have venue established in the complaint.
The remedy to improper venue is a transfer or dismissal on the objection of the defendant(s).
