They built an entire 1868 NYC inside a UK film studio for the series Copper. And Vancouver, Ottawa, and Montreal have been used for many European cities in a lot of films. Don't Say a Word was filmed on location in Toronto. Hill Street Blues had Chicago stand in for NYC. At present, Croatia, Hungary and Romania are quite popular for being able to substitute for a lot of cities that require a mix of ancient, seedy and modern architecture and have built up their facilities to attract productions with the added incentive of cheap labor. Green screen technology has made location shoots far more affordable.