Are you asking about PhD, Master’s, or professional (law/med) programs? The answer can be a little different. For PhD programs, there is an unwritten rule that you should go different places. The best way to pick a PhD program is to have a conversation with a professor at your undergraduate school. The best result is that they give you a suggestion that you should go study under Professor X or Y. Then they send an email to Professor X and Y about this great student.
Professional School tend to be more incestuous. For example, Yale law school accepts more students from Yale than any other school.