I think the most likely place for it to be used is in Europe. Pick the most America-friendly country, detonate a nuke there, and then claim that the same fate awaits any other countries to ally with the United States.
The first attack on the WTC was based on the belief that the U.S. was easily intimidated, and that an attack of that magnitude would cause the U.S. to withdraw from the Middle East. This belief came about after decades of U.S. inaction or withdrawal after it got its nosed bloodied in various ways. From Reagan pulling the military out of Lebanon after the Beirut attack, to the U.S. withdrawing in Somalia after dead soldiers were dragged through the streets, to the lack of U.S. reaction to terrorist attacks against the U.S.S. Cole, the first WTC attack, and the Khobar Towers attack.
Bin Laden and his cohorts felt that the U.S. was weak, had no stomach for a fight, and could be hit hard enough to get them to pull out of the region and allow al-Qaida to gain in prestige and expand out of Afghanistan throughout the region. It didn’t work that way.
So we go to plan B. Europe is weak, and attacks there have suggested that the strategy that failed in the U.S. might succeed in Europe. If a big attack there, blamed on the USA, can cause Europe to pull away from the U.S., then a goal in the overall war against the west will have been achieved. In the meantime, fear and intimidation have already worked in Europe to force countries there to accede to Islamist demands. So an attack might be a lever that can be used to force countries there to do things like incorporate Sharia law. They might even be able to incite a little more anti-semitism in a place that is ripe for it.
And logistically, Europe is a much easier target. The U.S. is isolated by large oceans. There are many conduits into Europe. And while Islamic militants in the U.S. are relatively few and quite closely watched (from what I understand), there are large populations of them in Europe. The place is ripe for an insurgency in some areas. A nuclear attack could kick something like that off.
I also think the Iran scenario is a good one. Plant a bomb in Tehran, wait for the next exchange of heated rhetoric between Iran and Israel. Or even better, wait for Israel to attempt a limited strike on Iran’s nuclear program. Israel sends planes in, and Tehran goes up in a mushroom cloud. Israel is denounced throughout the world, the middle east erupts in flames, the U.S. is caught in a very difficult situation, Iraq goes to hell as the Shiites attack the coalition forces, and you’ve set the stage for the chaos that a group like al-Qaida thrives in.
We always prepare for the last battle. The next one may be totally different.