In the beginning of the game you have to choose the location of your base. There are five possible options for the location of the XCOM base:

North America
Europe
Asia (not available in the tutorial)
South America (not available in the tutorial)
Africa (not available in the tutorial)

North America

Placing the base in North America, you get a bonus Air and Space: "All aircraft and aircraft weapons cost 50% less to purchase, build and maintain".

Your base will be located in United States

Europe

Placing the base in Europe, you get a bonus Expert Knowledge: "Laboratories and Workshops cost 50% less to build and maintain".

Your base will be located in Germany

Asia

Placing the base in Asia, you get a bonus Future Combat: "All projects in the Foundry and the Officer Training School cost 50% less".

Your base will be located in Japan

South America

Placing the base in South America, you get a bonus We Have Ways: "Autopsies and Interrogations are completed instantly".

Your base will be located in Brazil

Africa

Placing the base in Africa, you get a bonus All In: "Monthly XCOM funding increased by 30%".

Your base will be located in Nigeria

Notes

If you cover an entire continent with satellites, then you also get that bonus even if your base is located elsewhere.