Initial obvious locations are various Lagrange points or lunar orbit.
Many people have looked, thought about it, but nothing has been seriously funded for reasons of logistics.
Until recently, access to orbit was very expensive, and large scale orbital construction even more so.
The Shuttle, the primary launch vehicle for the United States for the last 30 years was limited to LEO. So anything you wanted outside LEO needed an upper stage and you lost the use of the Shuttle's unique facilities.
That is not a show stopper, but when all you have is a Shuttle, most things look like nails that a Shuttle would make a great hammer to hit it with. If you were to try to build the ISS with today's stable of launchers it would probably look very different. (Much more like Mir probably).
New launch entrants, are dropping the cost of access to space already. (SpaceX has disrupted the market so much, that ULA and Ariane have both announced plans for partial re-usability (Vulcan and Adeline respectively) which they had been saying for years would not be cost effective.
No more Space Shuttle, so that is no longer an option nor a limit. What can be done now? Well any payload you want to send to L1 or lunar orbit, you need an upper stage that can propel it. This goes for manned vehicles as well. So everything will cost more than LEO (say at the ISS), and we have already seen how prohibitively expensive, business as usual at the ISS can be.
Now everything you wish to send as resupply, crew, etc will be more expensive, since you have to launch the upper stage to get there and back, as well as the actual payload. But say the Falcon Heavy is fully reusable, and as cheap as SpaceX seems to imply, that may become less of an issue. Launch crew on a Falcon Heavy, instead of a regular Falcon 9. If it is fully reusable, assume it might also be affordable.
The ISS in LEO is protected by the Van Allen belts, something that would be lacking at L1 or Lunar orbit, and thus more mass would be required and of course, more cost.
Right now, a Soyuz is always on hand, with a seat for everyone on the ISS available. If there is a medical emergency, and air leak, whatever, they can be back on Earth in a matter of hours. At L1 or lunar orbit, it could be potentially 3 days to get back. This is not a show stopper, but something that needs to be considered (and solved for Martian missions of 2 years duration).
Next issue is why? What value does a station at L1 add that the ISS does not already provide? In reality the ISS's mission is tenous enough at best. The cost would be high, the value unclear, so not a lot of desire for such a station at this time.
That is a quick summary of possible issues, there are more, but they are all solvable.
