The physical and mental benefits of running depend on where you run and what surface you run on.
Ideally, run in peaceful, natural surroundings (riverbanks, the coast, woodland or parks). Not only will your surroundings make you feel better and get you away from noise and pollution, they also ususally offer excellent surfaces to run on (grass, earth and sand). Unlike concrete, soft surfaces absorb some of the impact of running.
According to your level, you might want to choose different sorts of terrain to run on. If you're a beginner, go for flat, then as you work up your fitness go for a slight incline. The key is choosing terrain you can cope with it at the level you're at, and that you feel comfortable and motivated running on.
Take someone with you: a friend, a work-mate, your boyfriend, your personal trainer (!). If you both have similar levels, running à deux can be great. Remember, the ideal speed is a reasonable steady pace at which you can still maintain a conversation = gossiping and keeping fit all rolled into one!