On the first time I have selected US East region by mistake. But I need EU Region.
I try to delete that web site and create a new one. But from now I can select only US East (it's the only item in the Regions list).
How can I change region for new WebSite?
While Azure WebSites are in preview mode, the creation of new WebSites are routed to locations where capacity has been made available. As Microsoft is able to look at usage data and demand, you should see the other data centers open up.
As I mentioned in the comment above, I had this problem too but was not convinced by the accepted answer.
I manually changed the value of the drop down value that the form provides to the region that I wanted:
In the drop down for region, I only had a choice of East US. I used firebug (or browser equivalent) to edit the value of the select option to 'West US' and submitted the form. The website was deployed to my desired region.
Note: Azure sites are currently in preview so may not be supported in all regions
Not sure if you are aware, but now you should be able to create website in many different regions. Azure portal does not lock you to one region anymore.