10 shows which changed location/venue/setting over the course of the series
1. I Love Lucy - the setting moved from New York to California (and eventually again to Connecticut under the name "The Lucy & Desi Comedy Hour")
2. Laverne and Shirley - They moved from Milwaukee to L.A.
3. Saved By The Bell - they went form High School (Bayside) to College (CalU)
4. McHale's Navy - In the last season, they moved from fighting the Japanese in the South Pacific to fighting the Germans, while being based in Italy. That's part of why it was the last season, no doubt.
5. The Apprentice - NY --> LA (maybe THIS will its last season too)
6. Little House on the Prairie - I didn't know this show had ever relocated, but stumbled across the fact on Wikipedia. For the bulk of the series they were "on the Prairie" just outside of Walnut Grove, Minnesota. For about four episodes in the fifth season, apparently, they moved from the Prairie to the city--Winoka, Minnesota.
7. Hearts Afire (1992) - starred John Ritter, Markie Post & Billy Bob Thornton. Originally started out in Washington DC in a Senator's office setting then moved to some small town in the South and a newspaper office.