"In." Part of the explanation from a book called "The Grammar Answer Key," by Keith S. Folse, is:
"More specific places use 'at,' while large places tend to use 'in.' 'On' is for streets (or similar words such as 'avenues' or 'highways.'"
Folse adds four specific cases:
For an address with a house number use "at:" "I live at 2251 Walnut Street."
For the name of business or similar, use "at."
For a street (or similar), use "on."
For a city, a state, a province, a country, a neighborhood, use "in."
Apply this to a trip I took last weekend, we went to see the total eclipse of the sun, and
we viewed the eclipse IN Burlington, Vermont, where we stayed AT the Best Western Windjammer Inn ON Williston Road.