I think Rises used Pittsburgh for more of it, but lived in Chicago for TDK and it was awesome. I watched them blow up the judge's car on my street in one take, and the truck flip scene took place outside my office. Wayne driving his Lamborghini under the EL to intercept the truck was down the street my now-wife lived on and he passed her building. One morning I randomly wandered by Gotham PD s.w.a.t truck parked by the river. It was very cool.