If you live southern part of the US then go to Mexico and if you live in nothern part, then go to Canada for visa. When you go, if you failed to get visa in the US consulates in those 2 countries, then you will be granted re-entery with your signed and stamped I-20 from your international office. But if you go to other country other than Mexico and Canada and have a bad luck then you will be going back home, so be careful and good luck.