Difference between "at" and "in" when specifying location

I am used to saying "I am in India.". But somewhere I saw it said "I am at Puri (Oriisa)". I would like to know the differences between "in" and "at" in the above two sentences.

There are many answers for this, but looking at the dictionary we get:

at: In or near the area occupied by; in or near the location of

in: Within the limits, bounds, or area of

People are usually using in to note a general location and at for a more specific location.

I'm in the building, at the front desk

I'm in New York, at the conference

I'm in New York, at the Empire State Building

EDIT: But note also the difference when in is used to indicate inside

I'm in the elevator = I'm inside the elevator

I'm at the elevator = I'm near the elevator

When talking about location, in is generally used for a larger area where there are numerous specific locations possible

I am in the United States.
I am in New York.
I am in the Chelsea neighborhood.
I am in my backyard.

The preposition at is generally used for a specific location or thing.

I am at the intersection of Hollywood and Vine [streets].
I am at the Empire State Building.
I am at my hotel.
I am at home.
I am at the old oak tree in my yard.

However, the above at usage is indifferent to whether you are indoors or outdoors. You could be on the street in front of your hotel or inside. You could be in your yard at home or in the bathroom at home.

If you want to convey that you are indoors at a specific location, you would use in

I am in the Empire State Building.
I am in my hotel.
I am in my home.

The above conventions reflect an American usage which may or may not be similar in other English speaking countries.

Well, I really find this interesting.

• in is used to describe a general location which is large in context, whether indoor or outdoor.
• at describes a specific location.

For instance, I could say:

• I live at № 29 D’alberto Road in Lagos.
• D’alberto Road is just a small area in Lagos.