All depends on the place(s) you want to visit. If you intend to visit only one Schengen country, you must apply at the Embassy or Consulate of that particular country. You apply at the Embassy or Consulate responsible for the state where you live.

If you intend to visit several Schengen countries, you must apply for a visa at the Embassy or Consulate of the country which is your main destination.

If you intend to visit several Schengen countries but do not have a main destination, you should apply for a visa at the Embassy or Consulate of the country which is your first point of entry.

For links to visa offices of Schengen countries, click here