So just got back from a EuroTrip that included Dubrovnik (where a lot of the scenes are/were filmed). Mostly King's Landing, I think. Recognized some immediately: Season 2 finale-Khaleesi at the House of the Undying King's Landing or some castle shots: I know I've seen this place with people walking through, etc.
A lot of things are filmed in Dubrovnik because it's still relatively cheap. Went there on my honeymoon, it was awesome