Detailed impressions are coming soon since I just cleared the three levels of The Last Guy: Japan Premium. All of the stages are set in Tokyo, Asakusa to be specific. After you beat the third stage a clip shows other locations where the United Rescue Force is taking action. London, Yokohama, and Washington D.C. were shown. In later episode the Last Guy will rescue helpless citizens from giant bugs in other countries.
Images courtesy of Sony.