There are several options for you to look at:
In Hospital – This is the most popular choice. There will be medical staff and equipment on hand and access to pain relief.
A Birthing Centre – This is more relaxing environment with access to equipment such as a birthing pool. The same midwife should be with you throughout. There is a possibility that you may need to be transferred to hospital if there are any complications.
At Home – If there are any complications you may need to go to hospital.