We know that it's in Scotland; the castle's Pottermore fact file reveals as much:
Where in the world Scotland
Significant events that took place here One or two minor episodes from Harry Potter's life
In comments, Daniel Roseman suggests that the departure point of the Hogwarts Express may suggest the school is located on the Eastern side of the country:
We can probably be a bit more specific than "Scotland"; since the train leaves from Kings Cross, and not Euston, it is probably on the eastern side rather than the west
According to the movie, the school is probably located somewhere near Dufftown; a Daily Prophet article indicates that Sirius Black had been sighted there:
Transcript1 (emphasis mine):
The female Muggle communicated, via a machine called Telephone, the Muggle Crime Watchers hotline, and immediately the Ministry of Magic Witch Watchers was informed. Minister Cornelius Fudge was taken by surprise and sent hundreds of Witch Watcher Special forces to the village, but when they arrived he was gone. Minister was absolutely disappointed to lose Sirius Black. The situation got worse when hundreds of Dementors turned up making the small Dufftown population quiver in panic.
And the equivalent scene from the book (which doesn't give the location) says that the sighting wasn't far from Hogwarts:
"Hey, Harry," said Seamus Finnigan, leaning over to borrow Harry’s brass scales, "have you heard? Daily Prophet this morning — they reckon Sirius Black's been sighted."
"Where?" said Harry and Ron quickly. On the other side of the table, Malfoy looked up, listening closely.
"Not too far from here," said Seamus, who looked excited
Harry Potter and the Prisoner of Azkaban Chapter 7: "The Boggart in the Wardrobe"
Whether you consider this fact to be canon or not depends entirely on your perspective on the movies.
Regardless, that's the best information we have on the subject; since Hogwarts is Unplottable, by definition we can't place its location on a map.
1 No points for English in this article, ironically