How do I get select tag value from jQuery(document).on('change', ...)

use $(this) instead of $('.location')

$(document).on('change', '.location', function(){  
   //    alert('test');
   $('#all_locations').append('<select name="loc_in_england" id="loc_in_england" class="location" ><option value="blank">Select</option><option value="london">London</option>');   
   alert ( $(this).find(":selected").val() + ' selected val' );
   alert( $(this).attr('id') + ' select id' ); 
}); //$(document).on('change'  

DEMO

http://jsfiddle.net/pzphbnxb/22/

Try this

alert ($(this).find(":selected").val() + ' selected val' );
alert( $(this).attr('id') + ' select id' );