Ghostbusters - New York Public Library (455 5th Ave)
I have spent many hours in this place during graduate school. Unfortunately never a ghost sighting (probably would have kept me awake).
GI Joe - Statue of Liberty (Liberty Island, New York)
Opening sequence of the animated GI Joe Movie from 1987. Probably one of the finest openings to a movie (okay probably in the top 3). These 4 minutes certainly beat the entire GI Joe: Rise of Cobra that's for sure.
Night at the Museum - American Museum of Natural History (Central Park West at 79th Street)
Great movie overall and awesome museum.
When I first saw Big as a child, it made me want to do two things: (1) Become an adult as quickly as possible so I can have an apartment in the city equipped with trampoline and pinball machine. (2) Learn to play piano. I have failed on both fronts, but I did eventually learn Chopsticks. Regarding the piano at FAO Schwarz, it is still there, "Many people travel from around the world to take a stroll on the now famous "Big" piano", according to Wikipedia.
Ghostbusters II - Museum of Modern Art- - 11 West 53rd Street
I still have a fear of looking at paintings, thanks to this movie.
Incredible Hulk - Apollo Theater - 253 West 125th Street
Even though the area in and around the Apollo has cleaned up recently, I wouldn't venture too much further than here. If you step into an area that seems like Hulk and Abomination have just fought through there, you know you went too far.