Many well-known films have been shot in Spain, especially spaghetti westerns, although most of the typical desert settings are in Almería. This Wikipedia entry has a list of films shot in Almería.
That includes The Good, the Bad and the Ugly, although many people don’t know that the shootout at the end was filmed way up north in an obscure location in the province of Burgos. This site has some photos. Notice how it’s much greener than the film sets in Almería:
I’ve always wanted to spend a couple of weeks there. It would make a great low-key trip because there’s not much except really good food, Romanesque architecture and peace and quiet.
Another Spanish location that shows up in a lot of films is an area called La Pedriza in the mountains near Madrid. Once you’ve seen it, it’s pretty easy to identify onscreen. Apparently, The Good, the Bad and the Ugly was filmed in all three locations.