There was a time when words like 'in' were treated as stopwords and so were a different question entirely. These days, you can search Google for 'in' [google.com] and so it clearly makes a difference if you're looking from a purely SEO perspective.
As far as I'm aware, most users don't include 'in' within location-based queries, but of course, this depends a lot on audience, and other specifics.
Just as important, however, is making sure you're using natural text that visitors will respond well to (and are perhaps also more likely to search for). Since a title is a fairly unique snippet of text, you can easily omit common words and keep things natural, although you'll likely find that in other areas using 'in' is more appropriate.
Personally, I like to make titles as close to normal language structure as is practical, so I often include 'in' for geographical references.
I'd say whether to include such words depends mainly on your writing style ;)