It was likely a global event, Budapest was probably the place where it started since the majority of the both species were there at the time, they also mentioned that an outbreak happened (that could also had begun on Budapest), wich means that vampires and lycans could have started to bite and infected ramdom people turning them into more of their kind to keep the humans busy while they fled to safer locations.
As for Michael and Selene they could have gone anywhere away from the battle, but if I had to guess i'd say they would go to somewhere in the North America, since Michael was from there.
I'm still not clear where Awakening even happened. It was kind of weird to have an American/British police force and Antigen was also filled with mostly American/British staff yet the whole thing takes place in Budapest.
I don't think Purges of that magnitude like we saw happened all over the world. However it did make the rest of the world aware of vampires and lycans. I can imagine that somewhere else in the world a person would call the authorities when their neighbor is never seen leaving their house/apartment during the day. Small stuff like that. The only other place I could imagine some big Purge happening is the former New World Coven (where Amelia was coming from in the first movie).
I think that Awakening happened somewhere in western Europe. The city they were in looked nothing like Budapest. I like Rockchick's thoughts on this, looking at evidence from the film:
Based on a little research (mainly based on the presence of Skyscrapers, Catacombs and a relatively close dam/hydroelectric power plant) I would guess that Antigen Headquarters were most likely in Brussels, Belgium (Plenty of Skyscrapers, catacombs containing pieces of an old castle I think, Hydroelectric plant about 1hr 40mins away by car so with Vampire speed...) (Naples, Italy would probably be my second guess (there is only a small area in the city that has Skyscrapers) with London (no nearby dam/hydroelectric powerplant) and Paris (small number of skyscrapers and no dam/hydroeletric power plant) being possibilities, but far less likely).
I agree with FunnyBunnies that the Purges probably weren't worldwide, but it made the whole world aware of the immortals. There could have been purges in locations that were discovered to have a lot of immortals, but more far-flung covens, like the Nordic Coven, could have escaped the Purges entirely.