Legally it's Menlo Park, but that's just because of the gerrymandering. If you'd asked me, I'd say Facebook HQ is in East Palo Alto, a high-crime/low-income area that most people in the area know only by its IKEA. Between the safety and the paucity of relevant local stores/services/etc, it's not exactly the number one place you'd choose to live. (That said, if you're over there, try some Jamaican food at Back-a-yard.)
They've also got Fremont nearbyish (across the bridge) - it's reasonably affordable for the area, but it's all sprawling-suburbs and is very quiet. Palo Alto is the next town over the freeway; if you don't mind fighting rush-hour traffic for half an hour to go a few miles, it's probably the most interesting place to live. Menlo Park proper has limited housing stocks. Atherton is even worse (it's a series of sprawling mansions, though a pleasant drive).
If living near work keeps some employees sane, these apartments will be a godsend. Of course, the real question is "why did facebook put its headquarters in the armpit of the Bay?"
I'm in Brooklyn now. Subway to work. :D