I would seek out trails that are sandy or have soft earth and even muddy patches. You can also take a stick and place some peanut butter on it and then insert it in the middle of a patch of raked earth or along a muddy trail and see what tracks you get the next day. I would choose one area near where you live and get to know it well by observing the tracks there each day or as often as time permits. Chances are you have many critters living right under your nose, even in the city, so don't think that tracking skills can only be developed in the wilds.
My favorite areas are along riverbanks and lakeshores. Even in northern Arizona, where I live, we have plenty of small lakes in the pine forest where animals such as elk, mule deer, antelope, bear, and cougar frequent. In a good region like this, I will often take some plaster of paris and make up a batch of track casts. This is something that young children enjoy immensely, and when I teach school groups, each child makes his or her own set of predator (coyote or fox, usually) and prey (squirrel or deer) to take home.
For learning to identify tracks, I recommend Paul Rezendes's excellent book: Tracking and the Art of Seeing.