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Twitter is one of the most popular applications in the current Internet with more than 500 M registered users across the world. In this paper, we conduct a comprehensive analysis to understand the geographical characteristics of Twitter using cross-community mining techniques. Specifically, we study the locality level shown by the three main elements of Twitter, namely users, relationships and information flow. For this purpose, we rely on a dataset including the geolocation information of more than 17, 100 and 3.5 M users, relationships and tweets, respectively. Our main findings are: (1) most of the Twitter users perform their activity from an area of at most few hundred kms covering few cities within a unique country; (2) the location (i.e., country), and in particular factors such as language or Twitter popularity within a country, dictates the level of locality in the relationships of users and Twitter conversations originated in that country. The combination of these factors reveals the presence of four types of country locality profiles that we carefully analyze and compare in the paper.