The choice to advertise locally, regional, national or international really depends on your target market. Promoting your hosting company as another "every day hosting company" in India for example will likely yield almost no results/return.
Now if you decide to target a region of another country - say Scotland for example - you need to target your advertising to what it is that those in Scotland would be looking for.
Advertising is more than just putting up a banner and throwing money at it. It requires research of your intended audience and tailoring a marketing campaign to capture that market.
Personally, I've always loved the local/state markets for advertising. We deal a lot with Australia, England, Russia and Germany (along with the US), and each of these countries operate VERY differently. Even the age groups of the intended audience changes. Convincing someone in Australia that they're better hosting in the United States again depends on THEIR market.
My advise, when starting out - go local. People like to deal with local companies. It will also allow you time to learn how to read people, what it is that they are looking for, and then branch out beyond that.
That being said - if you have a marketing company that you are working with, and they've already done all the research for you - throw the money at it and let it rip