When applying for a job outside of your city should you include your location on your resume?

I know a resume should list my location, email, and phone number, but if I wanted to apply to a job that's in a different city and I'm willing to relocate for it, how should I go about that? Should I list my current city on my resume, theirs, none at all? Should I let them know in my cover letter? What if they look at my resume first, or their ATS system or whatever, sees I'm not located there, and automatically rejects me?

How do people find jobs in different cities??