You'll want to find a place that's far enough away from the other backyard activity areas in your yard, such as the grill, patio or fire pit, but close enough to be easily seen from different vantage points in the yard. Preferably, you'll be able to see the area from inside the house, as well. Since your kids will likely be spending a good chunk of their summer playing there, keep in mind the weather conditions in your area. If it's typically very hot, consider a shady area or create shade with a gazebo or other structure (depending on what you want to do, of course). Safety should always be on your mind.
You have a place, now what's your budget? Most of us can't build a full-sized park in our own backyard, so be realistic. Be sure to include the cost of any changes you may need to make, like laying sod, spreading mulch or a rubber play floor, or relocating bushes or flowers. What about fencing? It's not just about the cost of the things that fill the play area; it's also about creating the play area itself. Also consider whether your plan includes things that can be stored outside year-round or items that will need to go into a garage or other storage area when cold weather arrives.