Every good story has a setting. Sometimes the setting is incidental to the story - the events being told could happen just as easily in New York City or in fair Verona (West Side Story as opposed to Romeo & Juliet, for instance). Other times the setting needs to be anonymous - Samuel Beckett famously sued the American Repertory Theatre over their plan to set his play Endgame in a particular place (namely, an abandoned New York City subway tunnel). Beckett essentially said if he'd wanted it set there, he'd have written it that way. (ART backed down and included an insert in the program that blasted the change.*) And sometimes the setting is crucial to the story being told - just try moving Tennessee Williams' A Streetcar Named Desire out of New Orleans. It's simply not the same tale.
Breaking Bad falls onto the Streetcar side of things. This is a show that intimately understands the importance of place. You can see from the opening shot of the pilot episode - that hard, bright blue desert sky with a pair of khaki pants inexplicably fluttering over the wide open landscape - place is going to matter here.
Think about what happens in the desert and the rules of town that fail to apply in that place. (I can't help it - there's a strong parallel there to Shakespeare's Midsummer Night's Dream - the rules of Athens are different from the rules of Forest. Go, Gilligan!) Think about what happens in the RV. And, for heaven's sake, think of the transitions we see in the look, style, and even the feel of Jesse's house as it moves from being his aunt's house at the beginning of Season 1 to being his. Now think about how the house reflects his fractured state of mind in the beginning of Season 4 to how it looks as he comes to his senses later in that season. The setting reflects the character's mindset, including the changes the characters go through. (Now with that in mind, go watch the Season 3 episode "Fly" again. Woo, boy!)
One central message of Breaking Bad is that what we choose to do matters and those choices say a great deal about who we are under the skin. Another message of the show is that where we choose to do these things also matters.
* I hate linking to Wikipedia, but I cannot find an online link to the production notebook which includes this story.