Maybe this question will sound a bit stupid, but, as the title says, do you go in some specific place to tweak better the ENB, in which you test better the colors, the lighting and other ENB effects?

Or do you tweak the ENB on the go, while playing, in any place you are where the colors/lighting and other effects seem a bit misplaced?

Jumping around Skyrim by Fast traveling to different locations is the best way to tweak for an overall good looking ENB preset.
Use common places like Major cities and Towns as well a common caves and dungeons.

Using the fw "weather id" command in the console to force specific weathers to tweak is also a good method to use.
Good place to find all kinds of skyrim id's - http://www.skyrimsearch.com/weather.php

I'm tweaking on the fly. I think my settings also comes from my day to day mood.
But as Jawz said using basic types of weather as a starting point it's easier and faster to tweak.
For sunny days I use FW: 10e1ee, 81a. Biggest challenge is to tweak the weather feature...

Also having some form of idea what the final preset will be like is important; for me exteriors need to be epic and cinematic sometimes surrealistic, while dungeons need to be dark, moody and somewhat haunting and scary.

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From personal experience I can say one location NEVER to tweak an ENB config is inside Dwemer ruins. I can't tell you how many times I've gotten my setup almost perfect, and then completely ruined it by trying to make some tweak in a fucking Dwemer ruin dungeon.

Why is that?

I don't know exactly, I think it must be a combination of the colors of the stone textures and the atypical brightness/color of the gas lights or whatever they are. I don't know if they're actually tinted at all, or if they're just white, but they definitely seem to my eyes to be much cooler and MUCH more intense than most of the other point lights in the game (interior ones, at least). I always end up trying to tone them down, then everything ends up looking dull and greenish, and by the time I've gotten the dungeon looking decent enough that I can play it without getting distracted tweaking, I've knocked the image out of whack for most other settings...