Well, ya, picking "off site" as the next office in your building would not be so good. :)
I knew one place in an area that was prone to rather bad weather, and their "off-site" choice was a guy's house about 10 miles from the primary site. Sure, it sounds good if the building burns down. Not so good if the area is flooded. His response was something to the effect that his house was 10 feet higher above sea level, so it was "safe".
That didn't matter. The tapes they were backing up to were never checked. They had no disaster recovery procedure in place, and when the day came that they needed to recover from a tape, they found out it hadn't actually recorded anything in years. Oops.
Sometimes being in the same country isn't really a good thing. If your primary site was Kiev, and the backup site was Vladivostok, things could have gotten touchy during that whole Soviet Union collapse thing.
We like to think the same can't happen here, but just as easily we could find that New York and Los Angeles end up in two distinct countries, possibly with other countries in between. I guess worrying about tax records from 1986 wouldn't be such a big deal then.