How important is location of the server that a website is on? For example, if making a website that will be used primarily by people in Montana, would it make more sense to choose a webhosting company in California instead of Florida because it will be closer? (and therefore probably better speed and more reliable?)

I am interested in people's ideas about cross state connections, and even cross continent connections (for example, I have read Seattle is a good location for a fast connection to Asia; and I would assume that southern Europe would be a good place for a website that serves Africa)