A lot of shows and movies seem to film in Brooklyn. I met a scout for The Wolf of Wall Street who was looking for a Brooklyn town house for the movie, and I see The Good Wife filming in the neighborhood quite a lot. If you are a fan of Boardwalk Empire like me and maybe live in Brooklyn, here is a nice roundup of some locations used in the show. The show certainly helps bring to life what life might have been like around the time many of the buildings were built.
Not mentioned on this list but mentioned elsewhere are the John Wesley United Methodist Church in Bed Stuy:
And 380 Clinton Ave in Clinton Hill: