Is there a rule for choosing between the prepositions zu, in, bei, nach, an for a special place or does one have to memorize all of them?
An den See
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First, one should note that bei is in general not used with verb such like gehen, kommen, or other word which would express an idea of movement. One say:
Now for a few guideline about the other preposition:
Nach is used when you go to a city, a country, or any other named inhabited settlement of region.
Zu is when your goal is a building.
In is used when the idea to be in the place is important. A few example, from the top of my head: "ins Meer", because you will swim in it, "ins Kino" while you want to watch a film in it, "ins Büro/ins Geschäft" while you go there to work. Note that the use of in and zu are very similar, and you nearly have to memorize which preposition to use in each case.
The use of an is quite difficult to define. I would say a first use is when you want to go to some kind of border. 'See' and 'Küste' is assimilated in this case to a border between land and water. This can be use naturally in the case you go there, but also when you are there.
The other case I found, is a figurative one:
To sum it up, those are guidelines, and unfortunately, in most of the case, knowing which preposition to use gets only easier with how familiar you are with the language.
rough short rule...
location can be entered/has an entrance, masc. and fem. countries:
location cannot be entered, usually persons ALSO brand names like MC Donalds:
countries (neuter) , cities etc:
There are many examples that don't fit here like Markt (auf, zu) or Meer (an, zu). But chosing by the above stated rules your outcome will be at least second best.
nach Hause, zu Hause, von Zuhause