I love it all. And without question location matters; once you have the best of each type of shellfish it makes it really hard to go back to anything less.
For sea scallops, Stonington or George's Bank. For bay scallops, Nantucket Bay.
For lobsters, Maine. And don't come near me with lobsters from anywhere but New England.
For crab, Maryland. Only recently been experiencing this over the past few years and cannot believe how much better it is. Royal PITA if you are cracking them yourself, but however you get it, great crab meat may be the single best item of shellfish, period.
For mussels, the best I've had have been farm raised. Not sure where, but they are clean with no grit. Grit kills it for me.
For oysters, I agree with
@Deepster : they taste like where they're from. For me, the colder the water the better the oyster. The only oysters I eat raw are from the Northeast, and I prefer Nova Scotia, PEI or northern Maine. Rhode Island, MA and CT are fine if fresh. I don't like West Coast oysters and I never eat raw oysters in New Orleans (but I do eat them grilled and cooked lots of different ways).
No idea where the shrimp I love come from, but I like the big ones.