As the first player here, I'll throw out my suggestion of
Warsaw, Poland as a potential city to play in. It has everything you expect from a major metropolitan megacity, like high-rise skyscrapers, an active nightlife, and massive population density, as well as older districts and buildings from almost every major European architectural style and historical era. Plus it's not one of the 'traditional' big European cities like London, Paris, Berlin, or Rome, and I'm a bit of a hipster like that.
For random chatter, most European countries have rather restrictive gun laws compared to the United States, which seems to be the assumed setting, given the fact that most archetypes start with one or several firearms. I can't really think of anything to do about this other than just ignore it (unless we want to houserule everyone's starting equipment), but I just wanted to through it out there.