I have had a checking account with a small Wyoming bank for many years; have maintained the account because of the great service (they still do escrow accounts, for example), with direct deposit and online banking, physical location has never been an issue. I also have an account with a local bank here in AZ only ,set it up because they were paying 3% on MMA's a year or so ago, that has changed, but it's nice to be able to get free notary services,coin counting, wire transfers, etc...
FDIC Insurance pretty much levels the playing field in terms of risk.