Because of the tilt of the earth's axis:
In Svalbard, Norway, the northernmost inhabited region of Europe, there is no sunset from approximately 19 April to 23 August. The extreme sites are the poles where the sun can be continuously visible for a half year.
Of course, if the earth's axis of rotation was precisely perpendicular to the direction light travels from the sun, at the poles you could see the sun constantly all year round.
As the earth's radius is about 6356km and its axial tilt is about 23.4° from vertical, you would need to be about 569km directly above the pole if you want sunlight at all hours, all year round. That would put you a bit higher than the International Space Station, so you won't be able to breathe and you probably can't build a tower this tall. For comparison, Mount Everest is about 9km tall and people die climbing it all the time. However, you'd be about 30,000km below geostationary communication satellites and about 360,000km below the moon's orbit so although you'd be high up, in space terms you can go a lot higher.
As you can't build a tower that tall, if you don't want to fall back down I'd recommend being in some sort of orbit.
Needless to say, if you're trying to avoid being too sci-fi and you can tolerate the constant days only lasting 4 months or so, a visit to Svalbard would involve a lot less space travel.