Brad Anderson’s excellent 2004 thriller The Machinist (the one starring an emaciated Christian Bale) is set in California, but was shot entirely in and around Barcelona, Spain.
I liked the establishing shot in Kentucky Fried Movie shows stock footage of the statue of liberty, but the sub title pops up a few seconds later stating “Hong Kong”.
“Major League” a movie about the Cleveland Indians was filmed in Milwaukee.
“A Christmas Story” takes place on Cleveland Street in Indiana, but was filmed in Cleveland.
Star Trek (The Voyage Home) was filmed partly at the Monterey Bay Aquarium, but in-story that was set in Sausalito. (@Voyager: They landed their ship in GG Park, but I don’t recall the aquarium being there. They had to take a bus across the GG Bridge to get to the aquarium.) I wondered how many viewers from places far away from San Francisco, especially internationally, would have ever heard of Sausalito or knew where it is.
Petaluma, CA, is a smallish town with a lot of Victorian buildings and homes in and around the city center, and the city has made something of a local industry in renting out the city for movie shoots. I don’t know any particulars, but Petaluma has certainly played the part of many cities in many movies. The Wiki page for Petaluma lists many movies with scenes that were shot there, but doesn’t seem to mention what cities they played in those movies.
Whole planets have doubled for other planets of course. Scenes from Tatooine were actually filmed on Earth (Tunisia, to be specific).
That too. San Fernando Valley, being the home to North Hollywood, Studio City, and Beautiful Downtown Burbank, is much-used for shooting a lot of scenes.
Cabot Cove. Hawkeye Pierce was from Crabapple Cove, ME.
Oxford notoriously stood in for Harvard in Heaven’s Gate, the movie that caused the downfall of the old United Artists.
IIRC, it’s also home to the World Arm Wrestling Championships. (I read Peanuts!) 
You’re probably right (I saw it before we moved here) but in any case they were going in the wrong direction. I was struck by the tank because I was at a conference in late 1985 which rented the aquarium for the night, We had dinner in front of the tank. This was before their expansion.
World War Z was set in Philadelphia but filmed in Glasgow…
Denver stood in for Chicago in the “Father Dowling Mysteries.”
Ridgeway, Colorado, a town of about 800 people when the film was made, became Fort Smith, Arkansas in the original True Grit (the one with John Wayne.)
Most of Dawn of the Planet of the Apes, which took place in San Francisco, was filmed in New Orleans.
I recall a TV program, I suppose it was, a series, where the main character stops in what was supposed to be a gas station in Gainesville, Florida. The mountains in the background made us all laugh. Hills would have made us laugh. A slight rise between two swamps there is called a hammock.
I’m not sure which one it is but either Dundee or Aberdeen often double up as Soviet Union cities. I’m assuming this is because of the sheer amount of dreary grey public housing that is to be found in Scotland looks a bit like that of Russia.
Taking Lives is supposed to be set in Montreal but a lot of the movie was shot in Quebec City.
And I have no idea where they shot the ‘Moncton’ Via Rail station scenes but it sure as hell wasn’t Moncton.
Johns Hopkins in Baltimore frequently stands in for other universities like Harvard (e.g. The Social Network, IIRC).
In some of the Tom Clancy novel-based movies, it’s always amusing to see the “Chesapeake Bay” surrounded by mountains.
And the SDMB’s Elendil’s Heir appears as an extra in the Stuttgart scene (just before Loki bursts in) – he posted a thread here about his experience on the shoot.
ZipperJJ has already mentioned Major League, where Milwaukee acted as a stand-in for Cleveland. AIUI, the filmmakers couldn’t get Cleveland Stadium (the Indians’ home at that time) for the length of time they needed for the shoot, but they could get Milwaukee County Stadium, which was, in part, why they shot in Milwaukee. During the in-game shots, when they show the stadium scoreboard, they replaced the Brewers logo with the Indians logo, but left on the logo for WTMJ (a Milwaukee radio and TV station).
Wadi Rum in Jordan has doubled for Mars in several movies including recently in The Martian.
EDIT: :smack: D’oh! It’s already been mentioned. Oh well, here it is again.
Thought I would post this link as an illustration of the above. I love the catchy theme music! If you visit the former Soviet Union, you would be hard pressed to find someone who doesn’t immediately recognize it!
I remember long, long ago watching some straight-to-video dreck whose title eludes me that was supposedly set in New York City. I’ve been to NYC a few times, but I’ve never seen the red octagonal signs that say “ARRET” like I did in the movie.
This thread reminds me of an odd experience I had a few years ago. I was driving through downtown Los Angeles on Wilshire right before it ends at Grand, and they had both sides of an entire block mocked up as Tokyo, with façades in front of all the buildings. For a minute I was wondering where all those noodle shops came from. I never found out what it was for.
I also just remembered that a building at my work stood in for the Vulcan Science Academy.