At the moment Louisiana is the place to be... just saying'
In order of entertainment "capitals" it goes: Hollywood #1, New York #2, Chicago #3. That said, the number of people pursuing careers are relative. The majority come to LA, next NY, and then Chicago.
Which city has the best potential? That's not really a question that can be answered. In which city do you have the strongest relationships? If none, I'd say one certain advantage LA has over the others is that everyone here is 6 degrees of Kevin Bacon to someone in the industry. Your gardner may mow Brad Pitt's lawn, your gynecologist could be married to the producer of Twilight, and your next door neighbor who you walk your dog with could wind up winning an Emmy when you didn't even know he was a director.
New York and Chi Town, you never know who you're walking next to.