The Locative case reference article from the English Wikipedia on 24-Apr-2004
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Locative case

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Cases
Abessive case
Ablative case
Absolutive case
Accusative case
Adessive case
Allative case
Comitative case
Dative case
Dedative case
Elative case
Ergative case
Essive case
Genitive case
Illative case
Inessive case
Instrumental case
Locative case
Nominative case
Oblique case
Partitive case
Possessive case
Postpositional case
Prepositional case
Prolative case
Terminative case
Translative case
Vocative case
Declension
List of cases

The locative case (called prepositional case in Russian) is found in:

The locative case corresponds vaguely to the preposition "in", "at", or "by" of English and indicates a final location of action or a time of the action.

In languages such as Finnish, there is a set of six distinct locative cases that express different relationships to location.

Also, this is the name of a Hungarian case which expresses the place where somebody or something is; it's used only in a few town names instead of or along with the Inessive case or Superessive case. It's not productive any more.