Lots of people think you can ONLY enter an address to set your Home location, but using the menu route that dhn sets out above, you can use ANY of the normal techniques.
So you can set "Home" from a Favourite, a POI, a recent destination, your Latitude and Longitude (on models that support coordinate entry) etc.
But the most useful is usually "Point on map"... using that, you can set your Home location to be ANYWHERE on the map, to whatever accuracy you like.