To work properly and efficiently, thermostats (programmable or otherwise) should be located away from any sources of cold or heat. Install your unit on an interior wall, away from heating or cooling vents and other sources of heat or drafts (doorways, windows, A/C vents, radiators/heating vents, skylights, direct sunlight, or bright lamps).
It is worth moving a thermostat if it's in a bad spot, especially if you're doing any renovations.