In Avengers: Endgame it is shown that New Asgard is established in Tønsberg, Norway. What is the reason that they chose this particular place for building their land to live? Does this place have any specific importance or is it due to some Asgardian History?
In the MCU Tønsberg is the place where the Frost Giants arrived trying to conquer Midgard as we are shown in Thor. The Tesseract was then kept here and made safe by people who worshipped Odin/Asgardians as gods and kept it away until Red Skull recovers it in Captain America: The First Avenger. So there is some history to the place with the Asgardians.
However, this was probably not the reason why Thor would have chosen the place. In Thor: Ragnarok Odin is in Norway when they find him and I think we can safely guess it is meant to be Tønsberg . Odin then says the following about it.
Odin: Look at this place. It's beautiful.
Odin: Remember this place. Home.
Centuries ago, the Frost Giants of Jotunheim, led by their king Laufey, arrived to Tønsberg, planning to conquer Midgard, freezing everything in their path using the Casket of Ancient Winters to plunge the world in a new glacial period.
However, the Asgardian army, led by King Odin, defended Midgard and engaged in a war against the Frost Giants, forcing them to abandon Earth and retreat to their own world.
Around this time, the Tesseract was lost on Earth and made its way to Tønsberg, where it was kept safe for centuries by a sect of Odin worshippers.
The trivia section also claims that "Tønsberg is regarded as the oldest town in Norway", which is also mentioned in its Wikipedia article. It also mentions that there was a concentration camp built nearby during WW2, which would make it sensible for Red Skull to be able to go there then and for there to be fighting going on.