Hi guys. I figured out the location of where you can build your first base. It's in Sanctuary Hills, right across the street from your (pre-war) home. In the E3 showcase video, look at the 10:48 mark (right where you first see Codsworth). You will see the house that you can dismantle off to the right (the one you see later at the 23:46 mark). At the 23:38 mark, they show the character start building the base, and you can see the pre-war home across the street.

Pretty cool! Just thought I'd share.

You can also see the same bridge as your character leaves Sanctuary Hills after talking to Codsworth (12:06), and when raiders are crossing it to attack your settlement (25:33).