There were all kinds of movies filmed in Vancouver, which is the largest city in the province of British Columbia, where I live. Brokeback Mountain with Heath Ledger and Jake Gyllenhaal was also filmed just on the other side of the Canadian Rockies from where I live.
Oh, I tell a lie, I just saw Daybreakers the other night and that's filmed in Brisbane. It's not set in Brisbane and is full of Americans (and Australian actors doing dodgy American accents), which is kind of weird when you know the place and can recognise the landmarks.
I believe that quite a few places near me - in the north-east of England - have been used as locations for the Harry Potter films.
When I lived in London I was always stumbling over film crews as there must have been countless films made there!
i live in a suburb of only 2220 people, & I was walking to a friends house 1 night, to take her something, & there was a film crew in her street! The food cart was on her lawn, & various garages had been rented out for around the $200 mark. The movie was, The Square. We happen to see the movie at another friends house, a few years later. I think the 2 brothers who are actors, actually directed this film. (You'll have to look up the details of The Square, if you want to know anything else about it!)