Hamlet wants to return to Wittenberg. It's one of the first things he says to anyone else. Called home to Denmark by the untimely death of his father, and with the crowning of Claudius giving him no reason to stay, he quite reasonably is ready to leave. It probably doesn't help that his girlfriend has unexpectedly stopped talking to him. (It's tempting to call Ophelia his "hometown girlfriend," but then again he probably isn't a girl-in-every-port kind of guy.) Nothing better to do than go back to school.
But why is he at Wittenberg? Why in particular did Shakespeare choose this place as the school Hamlet attends?
To start, of course, he doesn't belong there. The university had opened just barely 100 years before Shakespeare was writing, while the events in Hamlet belong several hundred years earlier. It had only been open for a few years, in fact, when Luther used it as a launchpad for his complaints about the church. Shakespeare appears to be using this history as a way to say something more about Hamlet himself and the play.
One proposal is that Shakespeare is saying something about the Reformation. There's a lot to say in 1602, and a lot to want to be quiet about. If one was a fiercely proud Protestant, one could speak out against a corrupt (and Catholic) king. If one was a crypto-Catholic - a possibility that can be surmised based on the will that Shakespeare's father left - one might want to subtly allude to the dangers of paying attention to someone from Wittenberg.
Another possibility is an attempt to be witty about the then-current advances in astronomy. Tycho Brahe also studied at Wittenberg, and his careful observations enabled the further advances of Kepler and Galileo - all contemporaries of Shakespeare. There are multiple astronomical allusions throughout the play, such as "that star closest to the pole."
We could infer that Wittenberg meant something to Shakespeare and his audience - if Hamlet is from there, he is some particular kind of person or has some particular attributes. Looking at it from a generational perspective, we could expect that Wittenberg had acquired a reputation similar to that of other college towns at the center of Awakening (Second Turning). That is, it was seen similar to how modern Americans might see Madison, Wisconsin or UC Berkeley, which were closely associated with the changes happening in the 1960s. In this interpretation, Hamlet isn't a sympathetic character, but a too-cerebral elitist who makes moral pronouncements that nobody else accepts.
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