Mine is in the bathroom. I have the Mary Kay roll up bag. . . and then other stuff in a basket on the counter. . . and then even more stuff in two small drawers by the sink. Yeah, that's a lot, but I don't use it all at once, I promise. My boyfriend loves to make fun of the fact that I could stock a small store. But I'm lucky. My bathroom is actually two rooms - one with the toilet and shower, and then a different room for the two sinks. Therefore it's no big health concern to have my toothbrushes and makeup by my sink. The reasons I do my makeup in my bathroom rather than my bedroom are because 1) all my space in my room is taken up by clothes and jewelry and shoes and 2) I always - always! - find I need to use the sink for something by the time I'm done with my face.
I have a main box/kit I keep in my bedroom closet and then a smaller case in the bathroom that holds my everyday staples. My fantasy is to have a proper vanity where I can store everything!