It depends on what you plan to do... and what firewall limitations you have and what cost restrictions you have
If having an extra server isn't an issue i'd use a server in the same location, then put all possible checks on it, memory, disk, load, network etc.
the only need would be for a port 80 firewall rule to the nagios server.
if you use a local server you need to consider the load of the checks with possibly some delays, the relative firewall rules and possibly sooner or later the need to move the server for some reason.
If you already know the server number is going to grow continously you may also start immediatley with installing nagios on each server, have all checks done locally and have the results sent to a central nagios server which only shows the results (which may at this point be in either location)...
There are pros and cons for each solution... in the end: it depends..